There are a few considerations for water cooling.
Price wise, the newest all in ones are pretty comparable to the top air coolers, so its more of a matter of preference, and perhaps most importantly,
The risk really isn't as high as many seem to believe. But, the reality is that it is
fluid. By electronics.
The common practice is to run the water loop for a day or so on its own. For custom loops, once you get hands on with a quality compression fitting..
you probably wont be nearly as concerned with leaks. And, its also good to remember that electronic circuits getting wet is no issue whatsoever, its
wet circuits being on
that's the problem.
You can look at the all in ones as an entry point, but they will usually only work for a single socket, can't usually be refilled, and are more than a
little difficult to expand in the future.
The next step is to look at kits like
one. They eliminate a lot of the "cons" of an all in one, but
still can benefit from upgrades like replacing the water block and fans.
The last option is building a full custom loop from the ground up, but I wouldn't necessarily suggest it as a starting point to learn. You can do it,
of course, but to build comfort levels its usually best to work towards it. In reality, the kit option pretty much is a custom loop.
A water cooled system definitely performs better, is generally
quieter (still uses fans, after all), and to some it just looks cool. But, it
isn't for everyone, and most wont really see the full benefits of it beyond a quality air cooler.