I will probably be taking the plunge into water cooling soon too. I have two cats which are the worst shedders of any cats I've ever owned and we live in a big city - so dust is a major problem. The problem with filters on the case is they get clogged really quickly in such an environment, and I really don't feel like dismantling my case every few weeks. Yes, every few days. I'm not kidding. But if you don't have cats, then your can probably get away with having to clean the filters every few months. The manufacturer will recommend you do it monthly.
If you are going for the newest components, you might find that they are really for water cooling already. I've seen video cards that have H2O versions. And my motherboard is actually rigged for WC even though it's a few years old. There are also some sealed systems available now. I haven't looked into them personally, but there are small liquid cooled CPU coolers now that are completely self contained. They aren't water cooled - they use something else. Mind you, that's only the CPU, but that might provide another alternative.
As it turns out, I opted for nice looks and convenience over superior air cooling. As echo says, there are cases that provide excellent air cooling and that is definitely an option. If you go with Lian Li, they have filters on all the openings. And Lian Li are the best cases out there, imo. But you still have to crack open the case to clean it out.
Unfortunately I haven't used WC personally, so I can't give concrete advice there.