Depends highly on if you want to overclock. Considering any modern CPU doesn't and won't need an overclock for some time for any amount of gaming, I suggest just sticking with the stock cooler.
If you want to overclock, it depends on how extreme you want to go, how much budget you have, and how patient you are with your build.
Something like a Hydro cooler is practically 0 maintenance. It's a closed loop, and 99% guaranteed never to leak. The only thing you need to do is every 6 months or so take the fans off and clean the dust off the rad.
A custom loop on the other hand requires a lot of patience, a lot of budget, and a lot of care. You have to choose wisely your parts in the build if you are going for any kind of GPU water blocks or motherboard blocks. Usually only reference video cards have aftermarket block support, and only certain high end boards have block support. These days motherboards don't necessarily require cooling at all. I can personally say that I would only water cool the X79 boards if you're going for high 24/7 clocks, but considering I think you're just wanting to game that platform isn't really designed for you.
You have to plan your loop out carefully, and make sure you have the proper parts if you're not buying a kit. When you build, it's recommended you leak test for 12-24 hours and you should flush and clean your loop out every 6 months or so. Just to make sure no bacteria or anything grows in there. With all this being said, I personally prefer custom loops because I've made many, but for most beginners the Hydro series is a much easier and better start until you get a grasp of the rest of the machine.
In terms of performance, water all the way. An h80i can best most of the very high end air coolers with the right fans and it puts a lot less strain on your motherboard. Not to mention, all that air goes straight out of your case.
Edit: Yea, if you don't plan on overclocking, I wouldn't recommend any other cooler besides the stock to stick with your warranty. If you're adamant on having something extra, the H55 or H60 are nice small units that could potentially drop temps 10-20c depending on ambient temps and the fans put on there.