Air cooling and CLC's (Closed Loop liquid Coolers) you can consider to be the same as each other performance wise, but offering differing positives and negatives.
Custom water cooling far outperforms the other two and is flexible, but costs a fair amount and is difficult to spec out and build.
CLC's, only bother with putting it on the CPU.
For the GPU, the only aftermarket upgrade I consider worthwhile is a proper custom loop, just get a model with a good cooler in the first place.