Most power transformers are oil cooled. In every substation there are a few big ones, and there are many smaller ones on pole tops or on the ground in suburbs. They pump the oil through the transformer and into a radiator that may or may not be fan cooled. If you build it right, sometimes you dont even need a pump, you can just use the changing density of oil as it heats to have it move itself through the loop.
Cooling computers would use the same principle. Oil is a good insulator. There is a certain amount of fire hazard, especially since an arc through the oil will break it down into gasses like acetylene and hydrogen. I'm sure on youtube there are some rather spectacular videos of transformer fires.
However there are ways to mitigate the fire risk, and oil cooling is a rather old and well known technology. It has been used in the power industry for more than 50 years.