features common to all components: low resistance to the flow of water. less tubing length used means better flow too. Copper products perform better
waterblock - copper is best, thin base late is better (but weaker), extremely flat base, I hear shinyness of base doesn't really affect performance. watch out for weight of unit!!! (DTEK Fuuzion then swifttech apogee GTx cpu blocks are the best)
pump - high flowrate = faster flowing liquid, high pressure = less loss of flow for restrictive items, Dangerden D5 (i think thats what it's called) is best
Radiator - you need to consider size versus amount of cooling needed, too big, and it could be reducing water flow, too small, then it wont do the job!
tubing: Tubing is preferably flexible, however at all costs should not kink (like when it is bent too much) 3/8" Internal Diameter (ID) is a common thickness. Tygon tubing, clearflex, multiflex, are some good ones. BTW, the less tubing you use and with the least (sharp) bends, then the less the pump has to work to push it through all that length, and therefore the better the flow rate is going to be!!!
reservoir is optional, but IMO better to have.
other extras you'll need/want are: tubing connectors (eg: Y, L & T junctions)
flow rate and temperature sensors, etc