Most people here will tell you that building yourself is the way to go.
Yes liquid cooling is better than air, but it is not worth it in a normal system that isn't going to be heavily overclocked. What exactly is overheating in your system? Video card? CPU? Is the case too hot?
Most of that can easily be remedied by a new heatsink or an extra case fan. Post your current specs including number of fans and anything else in your case.
As for a new computer....
ABIT "AV8" K8T800 Pro Chipset Motherboard for AMD Socket 939 CPU -RETAIL
http://www.newegg.com/app/ViewProduc...127-181&depa=1
AMD Athlon 64 3500+, 512K, L2 Cache, Windows Compatible 64-bit Processor 939 Pin - Retail
http://www.newegg.com/app/viewproduc...103-463&DEPA=1
Corsair XMS Extreme Memory Speed Series,(Twin Pack) 184 Pin 2GB(1GB x 2) DDR PC-3200 - Retail
http://www.newegg.com/app/ViewProduc...145-486&depa=1
(2x) Western Digital Raptor 74GB 10,000RPM SATA Hard Drive, Model WD740GD, OEM Drive Only
http://www.newegg.com/app/viewproduc...144-160&DEPA=0
Thermaltake XaserV WinGo V8000+ Silver Gaming Tower, Model "V8000+" -RETAIL
http://www.newegg.com/app/viewproduc...133-135&DEPA=0
Thermalright Copper Heatsink for both Intel and AMD, Model "SLK948U" -RETAIL
http://www.newegg.com/app/ViewProduc...109-114&depa=0
Gainward nVIDIA GeForce 6800 GT Video Card, 256MB DDR3, 256-Bit, TV-Out/Dual DVI, 8X AGP, Model "Ultra/2400 TV/DVI/DVI 256MB" -RETAIL
http://www.newegg.com/app/ViewProduc...128-195&depa=0
Antec 550W Power Supply, Model "TRUE550" -RETAIL
http://www.newegg.com/app/ViewProduc...103-910&depa=0
Creative Labs Sound Blaster Audigy2 ZS Platinum PCI Sound Card, Model "SB0350" -RETAIL
http://www.newegg.com/app/viewproduc...102-163&DEPA=0
Of course there are a couple other things you need like fans, cables, OS, speakers, etc., but that would be a great start on a kickass system that would be quite a bit cheaper and better than the prebuilts you were looking at. Building is a great experience and you get exactly what you want. You could even add your own watercooling in the mix if you felt comfortable. That SLK-948U is the best air cooler out there and it would be more than enough for even the most stressed computers.