Liquid cooling systems are usually the norm for those hardcore computer gamers. They are pretty effective! I've read an article on Tomshardware about them using a Nitrogen cooling system to break some speed records (I believe 5Ghz.. which was a big thing back then!)
However, heatsinks and fans are here to stay. Some modern GPU's have passive cooling systems that use uniquely design heatsinks to do the cooling, and have no fans at all. I suppose the main focus is on reducing the power consumption on the IC's themselves.
Few months ago, MSI devised a way to power fans using the heat itself, pretty much using the sterling engine idea:
MSI Adds Stirling Engine to Motherboards - GoodCleanTech