From my experience watercooling isn't cheap if you want to do it right
The setup you see above cost me $400 in parts, and I just happened to have bought the perfect case for this setup before I ever jumped on the watercooling thing. With a single GPU in the loop, you could knock about $100 off of that, but even still I wouldn't call it cheap.
My best word of advice though, is do NOT buy a "kit" if you want any better results than your current air cooling setup (Of course,
Petra's kits are the exception to this rule, since they build their "kits" from the same individual pieces most people would buy).
Also, depending on the goal you have with watercooling, your pieces will differ greatly... If you are going for silence, and never going to overclock, you would go for a smaller pump, and possibly a larger radiator than you would otherwise use if your only concern was overclocking.
For a basic parts list of what I did...
CPU Block: EK Supreme Acetal (Best rated CPU block on the market)
GPU Blocks: D-Tek Fuzion2 w/fitted UniSinks for the ram and mosfets on the card (Best rated non-full-coverage GPU block on the market)
Tubing: Tygon R3603 (Best evaporation and stain resistant tubing available, and it has a great bend radius) I used 7/16" tubing because it worked aesthetically, and for good cooling, and still fits on 1/2" barbs.
Radiator: Swiftech MCR-220 (Best rated radiator that would fit in my case)
Pump: Swiftech MCP655-Vario (Best rated, and variable speed made it easy to bleed, and quiet, though even set at full I can't even hear it)
I decided not to use a reservoir since I transport my case regularly for LAN parties, and did not want to worry about spills, instead I went with a fill-port. The downside is bleeding takes longer. With a fill-port you can get a simple clamp to put on the fill tube that ensures air will never get into the circuit during transport. With a reservoir... it isn't as easy, and you risk spilling inside your car/computer.