I think I started buying aftermarket coolers with an early PEntium 4 build. The first issue was noise, and the cooler I bought really didn't help. I also remember spending too much on an aluminum CoolerMaster case that was like a nice sculpture, but it didn't help with airflow, cooling, or even "cubic inches of space."
But I was hooked on heatpipes -- and I caught on early to their effectiveness.
At this point, I'd say this. If you're going to pay $300 or more for the processor and you plan to over-clock it, you will have more thermal headroom within the "TM1" spec (for Intel) with an aftermarket heatpipe cooler. Generally, in that market, you get what you pay for. I've never hesitated to pay $60 or so for "the best." The "best" means the heatpipe cooler with the lowest thermal resistance, implicitly evident through simpler statistical results reported in reviews.
You could spend more than $200 for water-cooling, and you might have a 10C degree advantage over the heatpipes. You could spend $600 on a phase-change contraption with an insulating grommet to keep water from condensing on the electronics.
But ultimately, better and better cooling won't give you much in lower voltages, but it will allow you to over-clock further at the same or higher voltage.
If you want to stay within the thermal spec for your over-clocking, and you want the "best" in a heatpipe cooler, we're talking about a price differential of maybe $40. That's about 10 packs of cheap cigarettes, maybe 8 Mexican dinners, and if you find a girl eager to say "yes" -- a really, really cheap date . . . . well . . . . two Mexican dinners and just enough for movie tickets if you can find the right theater . . . probably featuring "Attack of the Killer Tomatoes."