Before you go any further, please watch this: http://www.youtube.com/watch?v=tHHk7fB_h1Q
What an interesting concept! I know that the big power transformers mounted on power polls use mineral oil submersion as a method of cooling and protecting them, but I had never considered using it on an electronics scale.
I think that this sort of cooling, in addition to looking really cool, would be of great benefit to vacuum tubes. The oil be a great aid in keeping gases from getting into the tube, as well as keeping them cool.
It would also be very interesting to see it used in solid state cooling as well.
Would anyone else be interested in in building an oil submerged headphone amplifier? If you would be interested in a group design effort, please let me know.