Well, obviously air cooling is the least efficient, yet it's also the cheapest. In my opinion, air cooling is plenty for things like RAM, VRAM (on the graphics card), hard drives/SSD's, etc. Water-cooling your CPU and/or GPU is actually worth it, and you will see much lower temperatures (not in your room, though). VRM's on the motherboard, and North/South bridge are also worth water-cooling if you are overclocking, but at stock speeds, they are an option.
As for vapor cooling (which I think you are meaning phase-change cooling), I know nothing.