For the really, really good cooling stuff, you have to abandon newegg and go off the beaten track to the specialty stores. I tend to use two, crazypc.com, and more often performance-pcs.com for my cooling system, case, and thermal paste (aka heat sync fluid) needs.
Realistically, unless you are planning on overclocking with a decent watercooling rig, the stock air cooler that comes with the processor and stock thermal paste, or if you need to replace that standard Artic Silver 5 will do the trick. If you are willing to spend some money on better cooling though, this is about the best stuff around for between the CPU and the heat sync. http://www.performance-pcs.com/catalog/index.php?main_page=product_info&products_id=26226
It reviews well everywhere, and the numbers seem to give you at least a full degree drop. I have a set here awaiting the next time I pull my water block off the CPU.
For wiring, in a computer case you have 3 real sets of wiring. The stuff that comes with your power supply, the stuff that comes internal to your case, and the stuff your motherboard will come with. You won't need anything aside from that. That being said, I do like to get my internal wires professionally sleaved from performance-pcs when I buy a case from them. It adds about $40 or so, but doing it youself is a pain in the ass, and it really improves airflow and looks inside. The power supply wiring, so long as you get a really good, modular cable power supply you shouldn't have any worries there.
Heatsyncs are basically in two real flavors. Water cooling, which works really, really well and will add a minimum of $150 to your build to do properly, or air coolers which work pretty good, especially if you have internal house air conditioning. Water cooling is a whole subject in its own right, and if you are interested in that, let me know what kind of case you are looking at, as that makes a huge difference with radiators, etc. Air cooling heatsyncs are basically just a function of surface area, material, and fan. You ideally want a very large heat sync made out of copper with a huge ass fan on it, well positioned for airflow. Those zalman copper jet turbine shaped ones work well, aren't too heavy, have good fans and move alot of air. They are also a pain in the ass to install because those copper fins are sharp.
Fans are another topic that one could spend days on. But here are the basics. You want at least a 120mm fan. anything smaller is noisy and pushes less air. If your case has smaller than 120mm fan ports for its primary intakes, you don't want that case. You also want ball bearings or magnetohydrodnamic fluidic bearings. Bushings are a big no no. They will sieze up, and something important will melt. You also want the most airflow for the least amount of noise at operational loads. All fans are going to be nearly silent at idle. Even on a water cooled system you are going to need some fans. Right now I currently have Vantec Stealth fans in my secondary PC, and these bad boys in my main pc: http://www.performance-pcs.com/catalog/index.php?main_page=product_info&cPath=36_49&products_id=26542
The water cooling pump is literally louder than the fans at full load.
Brass screw thingies: The brass screw thingies are called "Standoffs" and you will usually get them with your Case. The case almost always has all the screws you need. They are critically important that they go in between the case and your motherboard. Failure to install the standoffs will result in everything melting. horribly.
Static wristbands are a waste of money. All you need to do is touch something large and metalic, and that will dissipate the static charge. The computer case you are installing your components in works great for that. Just touch it everytime you go to pick up a component and you will be fine.
Other things to consider: I can't stress this enough. You will have your computer case long after any of the other components you have currently. It pays to get a good quality one. Pick one you like the layout of inside. Look for things like removable motherboard trays, toolless drive mountings, etc. A good quality case doesn't have to be an expensive case necessarily. Take a look at the Cooler Master CM 690 II for example. Thermaltake, etc also make nice cases. Do your homework, check out the reviews, especially the negitive ones.
Other things inside that don't normally get thought of, sound insulation. http://www.performance-pcs.com/catalog/index.php?main_page=product_info&cPath=60_485_486&products_id=22491
I usually coat the side panels and case top and bottoms with this on my upper end builds. It makes a huge difference, especially on the lighter aluminum cases. You do have to ensure that you have adequate cooling inside, because it also acts as a heat insulator, but in a properly designed system it isn't an issue.
As for building references, the best way to learn is to have someone show you how to build the first one in person. Failing that, there are books, but really, a good magazine article with lots of pictures is most of what you need to at least assemble the hardware.
This is a decent "how do you actually put the stuff together" video: http://www.youtube.com/watch?v=RuWNkdV_xmo
Here's a good generic-ish article on actually putting a computer together. http://www.maximumpc.com/article/features/build_perfect_pc_stepbystep_illustrated_howto_guide?page=0,9
The only truly difficult parts are making sure you know where everything needs to go (main power lead goes to motherboard, core voltage lead also goes to motherboard) and installing the CPU in the socket. The CPU installation is only tricky if you ding a corner of the CPU into the socket. If you install it carefully, gently, lock it down properly and get the heat sync installed without killing your board, everything else is easy. Thats the part that it pays to see how to do it in person the first time.