STOP! Do NOT get a 9800 GT 1 gb. That will not make gaming any faster, that will just be better for higher resolutions, and a 9800 GT should NOT be used on high resolutions really anyways.
At the very LEAST get a 9800 gtx+. That is about equivalent to a hd 4850. If you can find an hd 4850 cheaper than a 9800 gtx+ go for that instead. As far as the cooler, it really depends. Look it up online or on your box, and it should say "supports processors...." and it will tell you which.
Vista is mostly fine now, the updates have made it run well. I'd just make sure you've got 4 gigs of ram. Get the 64 bit version, it's the same price.
edit: Stop skimping on the motherboard. I'm very cheap, and I know that you should be spending around 100 bucks for it at the least. Drop the e8400, pick up the e7400 to save some cash, use the saved cash on a halfway decent motherboard. Trust me, I did the same as you about a year and a half back, and now I'm stuck not being able to upgrade and having to buy all new ****.