Looks like a powerful spec. Suitable cables ought to be supplied with the various components but picking up a couple of extra SATA cables would be a good idea. Intel CPUs come with a decent stock cooler - works fine but go for something better if you plan to overclock. Good quality 600w+ PSU to power that lot, one that delivers at least 24 amps on the 12v line(s) - requirement for the 8800GT apparently.
Bear in mind you won't see the full 4gb if you install a 32bit version of Windows, only about 3-3.5gb. click here