water won't necessarily always be a better cooling option than air because although the water absorbs more heat, water blocks are generally rather small, to always beat air cooling they'd have to use heatpipes instead of micro channels or pins which would increase the size considerably
Modern CPu blocks for water cooling are all about maximising the speed of the transfer of heat from the CPU to the waterblock, the more copper you have between the water and the CPU, the slower this transfer will be.
This is why all modern CPU blocks have very thin bases and generally use injection plate designs. The thin base minimises the amount of copper the heat has to travel through to get to the water, the high pressure injection designs mean that there is a lot of turbulent flow in the micro channels/pins/whatever which makes the transfer of heat from the copper to the water much quicker.
Having long pins/taller micro channels would also actually have a negative effect on performance (well if they were a lot taller) since they would reduce turbulence close to the base of the block (where it is needed most). Not to mention the fact that it would mean the end cost of the block would be much more (copper is damn expensive), it would also be very expensive and difficult to machine (the XSPC edge was notoriously difficult to machine, so much so that they stopped producing it and only produced a few samples of the V2, and it didn't even have excessively tall fins).
Water cooling generally will provide slightly better overclocks (although not a huge amount, probably 200mhz) and temps won't be in a whole new league of their own (only somewhere in the region of 5-10 degrees better, depending on the setup) but it will generally achieve this while being much much quieter than an air cooling set-up.
Water cooling isn't cheap however, and it is quite a lot of cost for not a lot of gain (much like graphics cards over £200), but it's fun to tinker with, and once you have all the gear chances are most of it won't need changing for a long time (especially if you go down the route of core only graphics card blocks).