Well, the most effective one is a liquid nitrogen cooling, but it´s real expensive and only makes sense for hardcore overclocking weirdos and is nothing for everyday use...
http://www.tomshardware.com/cpu/20031230/
Next would be water cooling, the prices for such devices have fallen in the last time, and the safety inceased (they say)...
http://www.water-cooling.com/
But to be honest I wouldn´t like the fact that water is flowing in my system, a little leak would cause heavy damage, I don´t know people which use such devices but I know people with fish tanks and their problems with water pump leakages, technically it´s almost the same.
I´m using the good old fans, reliable and pretty cheap. For my AMD socket A I use a Arctic Cooling Copper Silent 2L, it has a adjustable fan speed and is really silent. Silence is imo very important, especially when you have to work for hours.
Also important is the case, it´s good when it´s a big one with much space so the air can flow in the case, I use this one for both of my boxes:
http://www.ms-tech.de//en/produkte/geha ... ndex.shtml
It has a nice design, much space inside, a preinstalled 120mm-fan on the front which also cools the HDDs and is really cheap!
To make sure the air can flow inside the case it´s inevitable to use rounded IDE cables.
Here´s a pic of my main box:
Looks nice, was pretty cheap and the system is stable and silent, even in the hottest summer day....