I know what you're talking about. I just got the 9500 today and was asking myself the same question. The cable comes out in the middle of the cooling fin assbly on the exhaust side. It seems like part of the wire has to rest on the fins until it gets to a point on your case where you can tie it up and route it. I'm just to lazy right now, so I have it just sort of laying there somewhat tied up. Once I have some more time I will try to route it correctly.
[size=1]Antec Case w/Antec TruePower 2.0 430w
DFI LanParty Pro875 rev. A
P4 3.0@ 3.31 w/Zalman CNPS9500LED w/AS5
Corsair XMS3200 1gb (2x512) @ 245 2.5,3,3,6
WD 150GB SATA
SoundBlaster Auidgy 4 w/ Logitech x530
EVGA Geforce 7600GS 438/435