Water (liquid generally) is a more efficient conductor than air. So you need a smaller surface area than an air:air to get the same cooling effect.
Obviously much more complicated. If you plumb it into your coolant system you need to up your radiator size accordingly. If you have a separate system, you can get away with no radiator for it if you only do short burst. Like in drag racing. Some people do this and put ice water around it or in the reservoir and replenish that each run. Street use a separate system would need it's own radiator. Not only more complicated, but more expensive.
The only reason I ever see to do this is if you need super cold charges for short runs, like in drag racing, and an air:air isn't efficient enough or you can put a large enough on in the space you have. Or it's going to be extremely difficult to do an air:air. You can obviously shove water:air in places you can put an air:air. Sometimes there's 'no room' for an air:air.
If you already have an air:air, or there's an 'easy' way to add one I see almost no reason to do it. Especially, like Kenny said, you are going to drive it on the street Especially if you are 'only' trying to make 300whp.