As previously quoted in this thread, I'm using transformer oil on a quad E5-4650 xeon system and some other electronics. Firstly, I've used various transformer oils, the easiest to acquire with best performance I've found is 76 transformer oil. Also with regards to lexicon, I prefer this term because it refers to a quality and composition of mineral oil. Using this term avoids confusion with the laxative grade (literally) mineral oil that some have tried. These contain sulfides, PBAs, and other chemicals that you would not want to run electronics in.
As far as heat exchangers, there are two routes I've used with great success:
1) Liquid to air - Simple radiator style setup. This however should _not_ be cheaped on. Initially I tried a PC water cooling radiator (leftover from a friend's system). PC radiators in general are crap. They don't provide heat curves, operating tolerances, etc. In the end I bought a radiator from Brazetek,
http://www.brazetek.com/finned-coil-water-air-heat-exchangers. This type of system is the best performance per price for < 35k BTU/hr (about 10kw). Also, I would avoid using polymer tubing for any of the hoses. I use silver solder welded copper pipe aka sweated copper.
2) Liquid to liquid - For this I milled a simple dual chamber, mutli-plate system from stainless steel. You can buy them from brazetek, but I had a ton of 1/4" 316 stainless stock and a case of beer. I sent the hot oil into one of the chambers, cool water into the other. For cooling the water, you can use an evaporative system, and ideally one would. You can get 5+ ton evaporative towers with pumps and controls locally for $3k+ pretty much anywhere in the US and probably the world. For my system, which was a prototype, I used a compressor to cool the water to various temperatures, some below the wet bulb temperature. This system can basically scale infinitely and reaches a cost/performance advantage over the previous system at around 10-12kw.
I wouldn't cheap on the radiators, pipes, and especially pumps. Avoid pond pumps and low duty cycle pumps. Oh, and flush your system before use especially if chinese rads are used as they tend to have finishing bits inside.
If you'd like to experiment with this buy a gallon or two of transformer oil at a HAM shop for ridiculously high prices and construct a test load with some kanthal wire cast into a ceramic block.
I've got a bunch of data on this at home, but am on the road right now.