How do you mean water-cooling?
Just there is two kind, CLC water cooling like the Corsair Hydro series and custom water.
CLC just isnt worth it outright, its Price/Performance cant match air coolers and it doesnt make up for it in raw performance. Custom water-cooling very much wont make up for it in price/performance, but its the best cooling you can get.
As has been mentioned, you dont "need" to water-cool anything. Its much more of a hobby than a necessary cooling solution.
Though I do disagree with "zyky", water-cooling is a valid way of getting a dead silent system. More fans = slower fans.
My advice, build your rig and have it air-cooled. Make sure that your case can handle a decent water-cooling loop, so that if you ever get the itch later on its a relatively easy upgrade.