I hate it when they do that. When I bought my second computer in 2005, I opened all the boxes to find out they were empty. They built the whole thing despite me asking them not to do that, and kept every single spare part. Cables, jumpers, screws, everything. Then they sent me the empty boxes anyway, because why not. They just left the Intel Inside sticker, some foam padding and a rubber band.
A long long time ago, let's say 2002-2003, I read some random blog where some a guy set up oil cooling. But he didn't use pipes. He had a fish tank, filled it with a special non-conductive oil and submerged the whole thing in it. Apparently it was amazing and couldn't fail. Wonder if it worked out in the long run.