I was reading about it... Apparently it's perfectly safe, but there was some deal about harddrives not liking all the oil, I forget exactly what. I'd do it if I had parts to spare and the space..
There have been a number of "total immersion" testbeds. I remember that some industrial freon-like compound was found to be ideal. No evaporation, non-conductive, did not facilitate unwanted capacitance, etc.
It cost a bit more than cooking oil, but was transparent, about as dense as water, and not prone to fouling.