Advice on my budget build for gaming

Hoping to get some feedback on this setup, this is my first build. I want to make sure there are no obvious mistakes like incompatible or missing parts. My budget is ~$800, the current build below came to $808 with shipping.

I had some trouble deciding between the Intel E8500, Phenom II x3 720 and Phenom II x4 940 CPU's. Choosing a video card also gave me some trouble, there are quite a few options in the $150-$200 range that I had left in my budget after selecting my other components.

One other question that has been bothering me, do I need a CPU heatsink beyond the one that comes with the CPU?

AMD Phenom II X4 940 Deneb 3.0GHz 4 x 512KB L2 Cache 6MB L3 Cache Socket AM2+ 125W Quad-Core Black Edition Processor - Retail [$189.99]

GIGABYTE GA-MA790X-UD4P AM3/AM2+/AM2 AMD 790X ATX AMD Motherboard - Retail [$109.99]

EVGA 896-P3-1260-AR GeForce GTX 260 896MB 448-bit GDDR3 PCI Express 2.0 x16 HDCP Ready SLI Supported Video Card - Retail [$184.99]

G.SKILL 4GB (2 x 2GB) 240-Pin DDR2 SDRAM DDR2 1066 (PC2 8500) Dual Channel Kit Desktop Memory - Retail [$54.99]

Antec Nine Hundred Black Steel ATX Mid Tower Computer Case - Retail [$69.99](after -$20 combo with power supply)

Antec EA650 650W Continuous Power ATX12V Ver.2.2 / EPS12V version 2.91 SLI Certified CrossFire Ready 80 PLUS Certified Active PFC Power Supply - Retail [$89.99]

Western Digital Caviar SE16 WD6400AAKS 640GB 7200 RPM 16MB Cache SATA 3.0Gb/s 3.5" Internal Hard Drive - OEM [$59.99]

SAMSUNG Black 22X DVD+R 8X DVD+RW 16X DVD+R DL 22X DVD-R 6X DVD-RW 12X DVD-RAM 16X DVD-ROM 48X CD-R 32X CD-RW 48X CD-ROM 2MB Cache SATA 22X DVD±R DVD Burner with LightScribe - OEM [$26.99]

In that price range, that should be a good build. The only thing I'd probably change would be the power supply; the one you chose is both Antec and has three rails, neither of which are optimal.

I'd probably use this one instead: Corsair 650w. Very high quality supplies, and a single-rail design. The multi-rail supplies can only put out so much per rail, so you can end up with one starved rail and several with excess power. With a single rail, all the connectors are essentially on the same circuit, so you can't end up with part of the computer not getting enough. The entire output of the supply is available to each and every connector. It's a MUCH better design. It's also more expensive to implement, which is why single-rail typically costs more. It's worth the extra $25 or so. (In this case, I think it's about a $15 difference.)

The only thing I might advise is to take the X3 720 and use the extra 50 dollars to buy a Geforce GTX275 or Radeon 4890. But thats a nit-pick.

My only recommendation would be to use dual hard drives. The high capacity drives are not as reliable or as durable as the smaller ones. I would go with dual 250GB drives max. Add a large third drive for backing up, either internal, if it can fit, or external.

Also, check the compatibility of your motherboard with the memory you plan to buy. Tweaktowns has an official support forum for Gigabyte motherboards that can help with BIOS settings for memory and Gigabyte has an official list of the memory they tested on the board. Memory compatibility can be an annoying problem to deal with and time consuming to get to a stable state. It is best to just get memory that will have the fewest problems from the get go.

Your GPU should handle all current games without a hiccup. Only Crysis will throw it for a loop, but only at higher resolutions and settings. You still could probably play Crysis at 1920x1200 and get over 30fps average. Not sure though. Still every game on the market should be no problem and new games will run great on it for some time to come.