Regarding cpu, get a sandy bridge socket 1155. a 2500k would be perfect and is good for overclocking. Cooling, get a corsair h series watercooler such as h50/60. A good case is a cooler master storm scout, and make sure you don't skimp on the power supply, Corsair/ be quiet are good.
Get yourself signed up to the ebuyer forums, www.ebuyer.com and you'll get some great help there regarding what to buy, overclocking etc....
Oh, and for gaming, a ssd is a must for some people. Just another thing to think about.