First computer I built went amazingly badly. Took me about a month of troubleshooting to figure out I had a bad memory stick. After I RMA'd it and got a new one, my computer still wouldn't run stable. I never found out for certain what the problem was, but I think it was a CPU bug which caused the system to become unstable when running with four sticks of memory (which I had). I took out a couple sticks, and it ran fine for a while.
I also had a Koolance external water cooling system, which worked really well. However, because I had wired it through another component in my system (I think it was a cathode lamp or something, the Koolance stopped getting power and shut off while my system was running. Unfortunately I was AFK at the time, so it sat like that for about two hours. When I came back, the processor die was thoroughly overheated, almost to the point of catching fire, my CPU water cooling block was burned, and the coolant in the block had started boiling and spraying out of the hoses all over my mobo and graphics card.
Fortunately, the only thing I lost from that debacle was the CPU block and the CPU itself. I was able to clean up the motherboard and the video card, but I never used the motherboard again. I imagine it still worked because the video card still worked. I wound up getting a new CPU/Mobo combo, which ran stable with all my memory in it. I made sure to plug my Koolance directly into the PSU instead of running it through another component, and I didn't have any more problems with it.
After a while, I gave that PC to my sister and built a new one. This time I decided to go with all aircooling instead, since it's simpler, doesn't require maintenance, and I never got around to learning anything about overclocking anyway.
I've been steadily upgrading my system since then, but I think I'm about a year away from retiring it and building a new system with more up-to-date hardware. When I do, I think I'm going to try to turn the old one into a mineral-oil cooled system, just to see if I can get it to work. I also had some crazy ideas about taking the cooling system out of an old mini-fridge and making a refrigerated mineral oil system. If that works, it'll be awesome.