Space shuttle was technically liquid cooled. If I recall correctly the nozzles were cooled with cryogenic hydrogen that was expanded in tubes surrounding the combustion chambers and nozzles. This expanded hydrogen was then used to drive the oxygen and hydrogen turbopumps that fed the main engine. The wikipedia article has some neat details of how the system worked -> http://en.wikipedia.org/wiki/Space_Shuttle_Main_Engine. For reference, each hydrogen turbo pump was around 70,000 horsepower per engine.