Many geothermal systems work this way. You dig a well in your yard, heat exchange the air with the cooler water that you pump out (always about 50-60 deg F) and pump the warm stuff back down. That way, you’re not wasting tons of water. The cool part is that it works in both the summer and the winter.

All images where the radiator is visible…also, the parts list is spelled out in Step 1.

They sell commercially built units like this to pilots
for use in small airplanes.
See: http://www.sportys.com/acb/showdetl.cfm?&did=19&product_id=10784
for an example.
In that case I’d much rather spend $100 on parts than to spend between $500 and $600 for a commmercial solution.

But, unless you have all of the things needed to make it, or you just do not have any way to do a window airconditioner, it is probably not worth it. A submersible water pump is $20-30, cooler (unless it is a super-cheap styrofoam one) is $10-$20, a heater core/radiator/oil cooler from a junkyard is $10-$30. Throw in some tubing for connections and a fan (or some fans) and you’d be hard pressed to beat the $90 window units. Especially when you throw in the fact that you still need to add ice and dispose of the warm water.

I wish someone would make a cheapy little ac unit, like a space heater but for cooling. I know, removing heat is harder than adding it.

Oh, and for those who have/are going to build their own recirculating-water cooling device, have you considered using the blue-ice cooler things? Less water to get rid of. Or you can make your own with tupperware, with rubbing alcohol and water (1:2 ratio).