For the power supply, as I said before, I would recommend FSP (Fortron Source). Another good one, is Antec.
The graphic card. I'm not sure if it's the same situation over there, in the UK, but the HD3850 doesn't cost much more. And it's a much more powerful card than the 8600GT.
Do you need a CPU cooler? You would only need to get one if you're going to overclock, but since you have a retail motherboard, you won't be able to. That is, unless you're CPU is hotter than usual.