Cray is definitely using water cooling. I have a pic on my iPhone sent to me two weeks ago from a good friend who was a founding member of the Green Grid. Shows their equipment with liquid cooling. his profession is data center cooling/power use and was in San Jose consulting on it.
useing Asetek liquid coolers. posting from an iPhone. may be I'll get around to posting it later.
http://www.asetek.com/#&panel1-3 debateing an upgrade tonight or holding out for cointerra.
Back in the day Cray used to use liquid nitrogen cooling for the X/YMP or whatever it was called. I have no idea what they do these days.