Don't OC an XP 2500+ or 2600+, you won't be able to get much higher than 2800+ performance or so for a stable system, which you can get out of a 2100+ Throuroughbred B cooled on air.
I'm running my 2100+ at 2700+ speeds (simply changed FSB to 333) using zalman flower with fan at 2000rpm and it works great and quiet, temps are 48 degrees C after 2 hours of UT2003.
I also have a Zalman GPU cooler on my GF4 Ti4800 so total cooling solution set me back about $50 for a really quiet rig (except for that %$#! CD-ROM drive, but I use Virtual-CD most of the time anyway)
Don't get me worng, I'd love to "play" with water cooling, but the prices are not low enough yet to justify it on an Athlon XP (ans since I'm an AMD fna I can;t comment on usefulness with P4s).