Re: My First Gaming Rig... Under $800
Instead of a E8600, you can get the E8500. It has exactly the same specs but is cheaper and can easily overclock to E8600 speeds.
On idle the 940 will consume less watts. On load it will probably consume more. The 940 temps could reach 55-60 on load with overclock. So they're probably the same, temp wise, it mostly depends on what cpu cooler you're using.
If you're more into gaming you might want the E8500. But if you want future proof/gaming, then the 940 would be a good choice. I'd go for the 940, considering the price performance value you get out of those.
Random movie quote to make you seem hip and "with it":
"Please take the chairs away. I don't like them. The big one is staring at me and that short one is being very droll."