Although watercooling is becoming more popular, air cooling is still the mainstream form. Newer processors require more powerful cooling techniques, larger heatsinks, and a larger volume of airflow to keep them within specified operating temperatures. Nowadays, copper based is the best, and an 120mm fan is a distinct advantage.
Once you have begun overclocking your system, you'll find various other components require cooling as well as your CPU and GPU. The cooler your northbridge, the more stable your system will run at high FSBs. The cooler your RAM, the higher FSB yu can achieve. You'll find quite a few options in this section.
No matter how good the heatsink or waterkit, if the contact between the cooling element and the item being cooled is poor then you're not getting the best you can out of your system. This can cause BSODs, system instability, spontaneous reboots etc. Using a good quality Thermal Compound can decrease temperatures by upto 5 degrees.