Well, it was first attempted with a pentium1 in... Ahm.. 1995 or so I think.
There are however some problems associated with newer PCs. These include but are not limited to:
* GPU requires cooling now
* Northbridge requires relatively more cooling
* CPUs are more densly packed with transistors, thus more prone to short circuits.
* More wattage is required
* Harddrives really dont like that stuff
Beyond that the rig is unable to actually COOL the oil in it's present condition. This means that eventually the system WILL overheat. If you read the article, you will notice that their end result was 40 degrees celcius oil temp. That means that the CPU is definately not getting rid of enough heat for decent overclocking or even stable operation. So a way to move the oil around within the case is needed. Additionally, a radiator to vent the heat from the oil is also required, AND you have to seal of the entire case to prevent dust and other particles from entering the liquid. Once the liquid is "contaminated", the dust and filth will start to short circuit parts of the MB. So you have to clean out the oil, and the compoinents regularly, drying them and then refilling with new oil. All in all, pretty expensive, for a rig that wont overclock very well, or even function for extended periods of time.
Also, you have to consider the amount of work that goes into a rig like that... At least 3-4 full days of cutting, drying, melting, sealing etc. etc. AND if there's a leak you'll have oil all over your floor. PLUS you cannot with any semblance of reason MOVE a PC with 35 kilos of oil in it, so it's pretty stationary once you've built it and filled it.
You're much better off with a "normal" watercooling set. It's more directed at the actual hot components, less work, cheaper, more portable and more reliable... Plus it's easy to replace if you want to exchange with something else. If you want to go "extreme", I recommend a case with a cooling compressor (like a fridge). They are hard to come by, and slightly expensive, plus you oftentimes need to replace the radiator with one from a used fridge or freezer if you want to overclock a lot.
Also... for removing unwanted heat, you might want to cheack out this guys beer cooling rig (using a pulse jet engine !)....
http://www.asciimation.co.nz/beer/