expensive?... that all depends...
if you buy a prebuilt (usually overpriced and/or cheap quality)... then yes, it's expensive.
but if you can handle drilling a few holes, then you can build a simple water cooling setup for very little money.
I make them a bit nicer now (more $$$), but the first water cooler I built (about 7-8 years ago) I made with a $4 electrical box, a $6 pump, a $11 radiator, generic 3/8" tubing $5, and a homemade waterblock ($0). altogether it came to $36 if I remember correctly (price also includes misc. additional hardware/fittings). if you're not "handy" enough to make your own waterblock then expect to pay $20 for a cheap one (that will still work fine BTW)
when you feel daring enough to build a water cooler, let me know. I'll be glad to help