From my favorite site for all overclocking news.
http://www.overclockers.com/beginners-guide-water-cooling/
I won't cut and paste the tutorial here because it is rather long. (46 printed pages).
It lists parts and a pretty nice tutorial. You can also hit up the HardOCP forums for advice.
A warning though. It is a lot of reading though. While there are premade units out there (Danger Den and FrozenCPU are pretty popular), it takes a lot of work, preparation and some math to construct a good unit. It's a good experience though. After you've built one, the second one takes very little time. This is commonly the most popular method.
Since the premade units are very expensive, fewer overclockers tend to go that route. This is because the whole point of overclocking is to get more performance for your money.