Cheaper, easier, and better to just water cool your hardware. Plus it's easier to resell the components afterwards.
I agree, though I don't know about better. Oil cooling does make it easier to use sub-ambient cooling methods without worrying about condensation. My gaming rig is hooked up to a home-built chiller. My idle temperatures can run as low as 18C in the summer.
Only go for oil cooling if its something you're interested in. Its got lots of disadvantages. Although I'd probably say the same about liquid cooling.