I use water cooling! But, I already had it in place, as I am an overclocker at heart!
For most it IS expensive! I managed to throw my custom cooling together for $150, but I only had to buy blocks! I already had a pump, rads, and tubing from other things so that cut my cost WAY down! For a single loop, you would be looking at $175+, and that's without WCing the CPU, and only cooling 1 card!
And definitely don't use oil!