All amplifiers previously described in the amateur literature have used water as the cooling fluid, probably because water has the highest specific heat capacity of all commonly available fluids and it is inexpensive and easy to get. The specific heat rating (the amount of heat needed to raise the temperature of one gram of a substance by one degree) of water is 1.0. Cooling fluids other than water have lower ratings. However, a closer look at using water for the cooling fluid shows that there are tradeoffs necessary in the implementation.
Water can be conductive which is a problem when using water to cool an energized tube anode at a high voltage. Distilled or de-ionized (they are not the same) water helps. Because of the molecular structure of water, it has a good ability to form strong bonds with dissolved ions.
A high voltage leakage current detector will indicate when the dissolved ion count becomes too high and it is time to change the water, but this requires additional hardware.
Water also supports life. Of course, this means that things can grow in the water. The common green algae that are visible in aquariums is a familiar reminder of this. Using bleach or other simple chemicals as a remedy is a big mistake because they increase the conductivity of the water and make it unsuitable. Water is an efficient and inexpensive cooling fluid, but the continuous replacement and maintenance requirements justify a look for a reasonable alternative.
Insulating liquids like transformer oil have very high dielectric strength. The tradeoff here is the specific heat of these types of fluids is lower than water with about a .4 to .5 value. However, transformer oil can sometimes be hard to obtain in small quantities of a couple of gallons, and the increased viscosity compared to water implies it is harder to pump.
Mineral oil is not a good alternative because it can become contaminated like water.
A common suitable alternative fluid that is inexpensive, has high dielectric strength, high flash point, and easy to use is common automotive automatic transmission fluid (ATF). The MSDS information for Pennzoil Dextron/Mercon ATF reveals these properties:
Dielectric strength: 35 kV
Weight: 7.25 lbs/gal
The biggest disadvantage of ATF is a lower specific heat rating when compared to water. It is a less efficient cooling fluid although this is not a hard problem to overcome. A more efficient cooler and larger pump can make up for the cooling efficiency difference of the two fluids.
ATF by design also contains friction additives that may degrade pump seals over the long term. The correct choice of pump type removes this potential problem. A magnetic drive pump has no seals.
What about transformer oil?
PCB (polychlorinated biphenyl) was banned in the USA and Canada in 1976. This product was of course used in high voltage transformers, capacitors, and heat exchangers. Some modern replacements for PCB are fluids made with terphenyl. Their properties include high temperature and good thermal stability.
Therminol 66 transformer oil appears to be widely used and seems to be an excellent transformer/heat exchanger oil.
I would choose this fluid for an oil-cooled amateur tube amplifier or dummy load application provided it is reasonably priced and easy to get.