Not through the wall. Through a corner of the window frame and then outside.
I've seen one setup that acts very much like a heat pump, using ground water in a closed loop.
I know of some folks who bought surplus dormitory refrigerators and ran their overclocked gaming rigs inside.
One setup has the system, sans case, in an aquarium full of mineral oil for cooling.
http://www.pugetsystems.com/gfx/submersion/gallery/Submerged008.jpg I may just settle with a Koolance Exos 3-fan system. It looks pretty modular, although I'm somewhat confused about the plumbing for multiple Socket 603/604 Xeon waterblocks. Series, parallel, tubing diameter, etc.
Then there are the hard drive heat exchangers, the waterblock for the Radeon(s), integrating the Exos into the UPS power-down circuit, and other stuff.
We'll see. We have 5 of these machines in Casa de' G-98, and they're all in use at various times throughout a given day. Mine is the guinea pig with respect to upgrades, of course.