Water cooling is generally better as it's more effective. However, it has serious drawbacks like complexity, and cost.
For me personally, I'm all air cooling. And I typically just stick with whatever the case comes with (in the case of my Antec P182...it's 3 x 120mm case fans). I use the stock cooler on my Q9550 quad core and I run a small overclock (from 2.83ghz to 3.20ghz). Everything is just fine with that setup. Heat has never been an issue.