re: PFC, check out this:
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re: liquid cooling: Why not use oil? Shell dealers can sell you 5 gallons of Diala AX for not too much more than the $20 I paid some time ago. Little or no odor, nonconductive to high voltages, and you just immerse the whole assembly.
I'm making a Jacob's Ladder out of an old X-ray HV transformer, so "dunk it in an oil tank" comes easily to mind. The circuitry hangs from the top of the oil container and the connections come through that top.