the liquids used in an heat exchanger must be: cheap, not toxic, non corrosive, have a high specific heat or a high heat of vaporization. It must be liquid in a wide range of temperature (eventually changing the pressure).
Water is excellent for all these items. But it can't be used below 0°C, so we can use a solution of NaCl in water, or alcohol or ethilenic glicole (in the car radiators). In conditioners can be used ammonia, in freezer you can use bromo- fluoro carbides or Hydrogen fluoro carbides. At 200 atm water can be used over 300°C but for higher temperature you can use steam or combustion fumes...