For the past few years around this time as the temps start rising outside and the temps in my itty bitty computer room skyrocket I've investigated water cooling. Really haven't seen that many disaster stories.
Most of the ones I have seen have been along the lines of:
Hose collapsed and computer started locking up a lot because CPU got hot
*Lesson: run your hoses carefully and don't do sharp angles
Someone else turned on my computer, but didn't turn on the pump!
*Lesson: If your pump doesn't come on with the computer automatically (wire in a relay) leave clear instructions for others.
The clamp broke and my waterblock fell off
*Lesson: Same as with aircooled heatsinks, try to get ones using all 3 lugs on the CPU socket, or better, bolt on. Avoid single lug attachments with either, especially with heavier sinks and waterblocks.
Have seen several pump failure stories, either because the pump died or like example 2, it didn't get turned on. Even then usually the outcome wasn't terminal, though some surely were.
All in all I'd say it's riskier, but not that high risk. Have the computer setup to shutdown if the CPU temp rises past X degrees - something we all should be doing (at least on the the Athlon side) with air or water cooling. I mean really, either way you're trusting your CPU and possibly your house to a $50 pump or a $3 fan.
--Mc