My old roomie had a nice OC system going. Biggest pain in the ass from what I've seen: Gotta top it off with a special coolant that's electronic-friendly, pain in the ass to install and cut tubes to length, and I think his system (which is an integrated Water-cooling/case) was around the $500 mark.
That being said, it was really quiet for what it is, and it tamed his old AMD Athlon extreme edition to notch. Also, he said that upgrading/adding on cooling blocks wasn't as big as an issue back then, but he said that an SLI setup was way more complicated that it's worth. He also said that when he sprung a leak, that the special non-conductive liquid really saved his ass when it hosed his dual 8800gt setup.
EDIT: Talked to him on aim, and he said to visit
Xoxide for all your Water-cooling needs. I thought they wont out of business, but apparently the store/website was bought out by another company, so YMMV.
EDIT: One more link for those who needs it. HardOCP is filled with OCing enthusiast, and they have a fairly robust Forum dedicated to Water Cooling.
Check it out. Also, it doesn't hurt to
start here.