While I'm running affinitized LinX on my Skylake 6700K to see if I can drop the voltage for a 4.5Ghz overclock, I've developed a point of view.
You can go any way you want on the Skylake, either Big Air, or maybe minimum single-fan Water custom or AiO (like H80i). If you really want to overclock the Skylake, this narrows down to a need for something between an H100 to a Swiftech H240 X2 or EKWB Predator -- there are a lot of AiO's to choose from.
And something you can do for either Air or Water: either buy your CPU from Silicon Lottery and have it CLU-re-lidded, or send them the chip you have for $50. Or you can do it yourself. I preferred paying $50 to someone who's done the work many times.
With Big Air, you would lean toward the most effective heatpipe cooler you can find, and balance "compactness" across performance and weight. The NH-D15 and ThermalRight LG Macho are approximately tied, or with a slight edge for the TR, which falls about 5C behind the EKWB Predator 240. But you could compare the temperatures you might get for a TR or Noctua with the re-lidded Skylake against a test bed with a factory-fresh CPU (polymer TIM) and something like an EXOS dual fan case-top external water cooler. My TR with CLU-re-lid beats the EXOS test-bed @ 4.7 Ghz by about 3 or 4C.
With the water, you have fittings, a pump with a life-expectancy, annual maintenance to drain, fill and bleed. With the Big Air, you have the weight and precautions for moving the computer or shipping it with the cooler removed. With the Silicon Lottery service, I think you'd lose your Intel 3-year-warranty. But you do that anyway if you lap the heat-spreader or overclock -- unless you buy the special Intel "insurance."
One more thought. You always have to consider the case and its potential or options with this choice of air or water. There are pros and cons that involve other things besides cooling: for instance, how many 5.25" drive bays do you need, how many do you want, and how many do you get with a front-panel 240mm radiator location? If you put the radiator in the top case panel, how much will it overhang and obscure the motherboard or make access more tedious?
Ultimately, air-flow is the key to either cooling strategy.