Water cooling feels like brute force. Why not give it plenty of air, and have the apparatus underclock itself enough until it's within a designated temperature envelope?
It's exactly brute force. And the why of it is simple: performance.
There's an upper limit on the heat dissipation capability of a directly mounted heatsink, no matter how much air you throw at it. Water has a much greater heat capacity, and hence is better at removing heat from your {C,G}PUs.
In addition, the relatively lesser amount of water needed for the same cooling capacity makes it much quieter. Many people water-cool purely to build a 'silent' PC.
The next step up is thermioelectric (Peltier effect) assisted water-cooling, followed by phase-change refrigeration (same principles as household refrigerator).
The upper limit is probably(?) open-loop evaporation of cryogenic liquified gases like nitrogen, but that's mostly a gimmick for overclocking contests.
Well, for one, dust. There's a strong case against mounting the electronics on a piece of wood and hanging it on the wall in open air, but if the builder is oddly inflexible on that point then liquid-cooling is probably the most practical way to avoid the daily-or-more-often process of removing dust and debris.
