-Coolermaster Hyper212 is a decent choice, but others will probably point you toward better coolers for similar prices. It isn't a bad choice.
-Arctic Silver 5 isn't a great thermal paste, but nor is it bad. I'd use Noctua's NT-H1, personally.
-There are cheaper Z170 boards available. What criteria did you use to choose that one?
-RAM looks fine
-You might consider the M.2 version of the 850 EVO. It's no faster, but M.2 is the future of SSD connectivity, and it will save you some wire mess in your case. There's really no reason not to, but the SATA version is fine if you choose not to go with M.2 for some reason.
-HDD is fine
-GTX960 is nowhere near enough GPU to run AAA games at max settings. You're looking more at medium to medium-high for the latest games. I would look for places to shave your expenses and get a better GPU.
-Your ATX case is fine, but it will be almost entirely empty. Larger cases don't direct airflow as well, and require more fans, making them more noisy for the same cooling. I would personally go with a midtower, or possible even a mATX tower and a mATX motherboard, because that case is unnecessarily large, but I don't have any specific recommendations and there's nothing specifically wrong with your choice.
-850w Power supply is way more than you need. You have a 120w GPU and a 91w CPU. At stock, your entire system will draw less than 250w, and overclocked, I doubt you would ever see more than 350w. Even if you wanted to go with dual GTX970's in SLI, you could probably get away with a 650w PSU. This is a good place to shave some expenses.
-Do you really need a DVD writer? I haven't used a physical disk in nearly a decade.
-You might consider going with a motherboard that has Creative onboard sound, if you like Creative's software processing. Gigabyte sells a Z170 board which has onboard sound with "X-Fi" branding, which should sound identical unless you're using $500+ headphones, and even then the difference will be minimal. Asus has their own proprietary software stack for onboard sound that's also very nice. This would probably free up enough budget for you to get 2x GTX970's or maybe a single GTX 980, rather than a GTX 960.
-I tend to prefer Intel's WiFI solutions. There are a lot of motherboards that come with Intel WiFi cards in mini PCIe slots, which could save you some money while also providing you with a superior WiFi solution and saving you some wire mess.
-I can't speak for that specific Coolermaster fan, but not all fans are created equal. Coolermaster's fans are typically somewhat noisy for the amount of air they push. I'm partial to Yate Loon on the cheap, and Noctua fans if you are willing to spend a little more. Noctua fans aren't really quieter than a $3 Yate Loon, but they last a lot longer (the Yate Loons will get noisy after a year or two due to wear on their sleeve bearing if mounted horizontally) and come with a lot of nice accessories.
In short, you need more GPU, and you can probably shave $300 off of other things in order to get more GPU.