If cold it will indeed run marginally more efficiently, though the savings from this will have to be offset against the cost of the cooling and it won't balance
Before putting much effort into the cpu fan, try to work out what to do with the psu one. I periodically purge the fans from my computer and always end up with the psu one present and annoying. 400W fanless psu or the epic koolance ones seem to be the only standard options.
Vapochill is to fridge as ducati is to bicycle. Phase cooling is refrigeration done 'right' as far as computers are concerned. The difference is the wattage it can dissipate, a fridge is aimed to slowly cool the contents then rely on insulation to hold it there. If you put a heater in a fridge it dies quite swiftly, the compressor can't run flat out all the time without failing. If you pump water through the fridge, say with a radiator in it, I'd be curious as to how long it lasts.
I recommend water cooling and overclocking. The former has forced me to learn considerable amounts of thermodynamics/fluid dynamics and the latter an aweful lot about computer hardware. Its good learning experience, though making your own cooling system would also be excellent it may be a little much to start off on. Do a build log if you do choose to make it yourself please