If you're not overcocking, and don't mind [processor] temps in the mid 30's to 40's then stick with the retail HSF. If you want better temps, you'll want one of the QUALITY HSF units out there. Thermalright and Zalman are considered top rung by many/most people here.
Liquid cooling rigs [typically] run $150-$300 (or more) when done right. If you go cheap there, just like with HSF's, you'll end up redoing or replacing it sooner rather than [much] later. I priced out doing up a liquid cooling rig on my own system a few months back... If I recall, the final price tag was over $200, approaching $300 by the time I was done. That didn't even include cooling for my video card, JUST the processor. I did go with a res. for bleeding the lines and for additional fluid, and a twin fan (could have 4 fans on it if you did them on both sides) radiator. All QUALITY products, which is what drove the price to where it was.
Just remember, anything worth doing is worth doing RIGHT... As is, buy something that's cheap and you're getting something that's made cheaply.