The chipset is currently where external devices reside, like SATA USB etc. A lot of the chipsets functionality has been moved to the CPU.
The chipset does not have to be the same as the CPU it needs to be compatible with the chipset. For example, in order to use a new Intel Skylake i7 6700K you need a motherboard with a Z170 or one of the 100 series chipsets. To use a i7 4790K you need either a 8 series or 9 series Intel chipset board. For AMD you need the current 900 series chipset (for AM3+ socket).
Most of the cables you will need will come with the motherboard, i.e. the SATA cables.
The CPU and GPU do not have to be the same but you need a board that supports PCIe x16 slot.
The PSU will have all the power cables you need.