Maybe industrial water cooling has a better track record, but consumer water cooling is an extremely fiddly and expensive process. My main source is Linus Tech Tips. Unless you're willing to spend a lot of money and effort, air cooling is more effective and much much cheaper. Simple (small) water cooling solutions tend to not perform better than air cooling. Plus, water cooling requires a lot of maintenance, because it's more complex (e.g. there's pumps that can fail) and because the cooling liquid can get contaminated and cause cooling performance to drop.
I can see how it could be cheaper to use cheap air cooling on the chips and efficient, central room cooling.
Spilled some coffee in my open computer case once. Wasn't running faster at all...
But seriously, I think it would be a viable solution for server farms, but it didn't really catch on there yet. Probably still a matter of price. There are some theoretical application with heat exchangers though. If we could recycle some of that, computing would be much more efficient in general.
I assume you're talking about centralized cooling for server farms? The solution I like for that is to turn the entire rear door of each cabinet into a water-fed heat exchanger, with no change to the servers. Then your piping is orders of magnitude simpler and safer.
Probably even better. Water has a nice heat capacity (I think about 10x as much as copper), but maybe that isn't that important for such a solution as long as the heat gets used. Even if we would just get 10% of the invested energy back, it would be a huge boon already.
Heat capacity doesn't really matter, unless you'll be using the device less time than it takes to reach that capacity. If you have two materials with equal thermal conductivity, but different heat capacity, their cooling properties will be the same once both reach their heat capacity.
I can see how it could be cheaper to use cheap air cooling on the chips and efficient, central room cooling.