I love my cold water tank. I'm a little surprised so few people have them. The up side is that the animals are rather hearty (harder to kill) and much more unusual in the hobby. The down sides are that chillers are really expensive, and animals are almost impossible to get unless you can collect them yourself. I've found that used chillers can be found on Craigslist (at least in big cities) for between $150 and $300 if you patiently watch the ads and jump on a deal. Cold tanks don't need expensive reef lights, so the cost of a chiller can come out of the light budget. The other problem, getting animals, can be solved if you live near the coast (if not, it's a problem). At least in California, most people think it is illegal to collect anything, but that's not true. There are some restrictions, but if you study the rules you will see that only some animals are off limits, and only some places are illegal to collect from. (I should write up what I've learned about Ca laws, and post it somewhere)
The other problem is that it takes a lot of digging to get any information about how to care for these animals (unlike tropical reef info which is everywhere). On the other hand, these are tough animals, and they will put up with a little experimentation untill you figure out what you are doing. I've found a few people who can help on the "Biotopes" forum at nano-reef.com. (and Tonmo.com can help if you want an octopus)
So if some of you are feeling the urge to get a cold tank, and you are willing and able to do some extra homework - go for it!