Heck No! I have a Xigmatek Thor's Hammer. Intel's 'stock' cooler is fine for 'stock'
speeds, but it can't handle overclocking. 3ghz max is pretty much what everybody gets on stock max. Buying a good cooler isn't enough, proper installation is vital. I used Olin's method of Thermal paste application and generally it's extremely stable in games and for everyday computing.
I'm pretty sure you'll be able to get in the vicinity of 4Ghz with liquid cooling though. Word of caution though, VERY GOOD AIR COOLING >> SO-SO LIQUID COOLING. ANYDAY.
The price of a moderate liquid cooling set up maybe equal or more likely LESS than a very good air cooling set up eg.Prolimatech Megahalems, Thermalright IFX-14, but performance wise a VERY GOOD AIR COOLER is better than a MODERATE LIQUID COOLER.
For eg, the performance of the so called budget Corsair H50 (i may be misquoting the serial number here) or other 'one piece installation' water coolers eg. Coolit Domino has been pretty suspect actually. I don't remember the link precisely but X-bit labs is a great place to view the numbers. Some of these water coolers are over hyped garbage.
The real performers are the full spec water cooling set ups with radiators, pumps, water blocks all bought separately and assembled to spec. This as you guessed it, will cost you a bomb. Money that would be better spent on buying a larger monitor, or maybe a more robust graphics card. Benefits from overclocking the CPU when it comes to games will not be as lofty as you're hoping. Tom's hardware has an excellent article on diminishing returns from overclocking. Basically, you should OC a Core iy920 to 3.66 Ghz max, beyond which exceeding temps and possible auto throttling of the CPU will limit performance gains.
Of course if you want to go water cooling, do it the right way and get a specialized expensive set up. But your temps will be fantastic and those cooling blocks can be linked in parallel to cool your graphics card and your mobo chipset too.
Of course having said that, i've been to 4ghz, IMHO i can say this.
IMHO It's more abut bragging rights than practicality. If you can't get there, you'r really really not missing out on much. 3.66, 3.8 is just fine too. I've been having some problems at 4ghz that i never had a 3.7 or 3.8 ghz. Do Read my other post.