I am going to comment on your choices as lots will give other suggestions:
CPU: Intel Core i5-6600K 3.5GHz Quad-Core Processor ($219.99 @ Newegg)
Basically all that is needed for gaming. I assume you are going to OC.
CPU Cooler: Corsair H100i v2 70.7 CFM Liquid CPU Cooler ($91.99 @ Newegg)
For the same money you can get a Noctua DH15. Just so you know, you will NOT get better performance with a AIO system on the i5 unless you are trying to overvolt the hell out of it. Basically, these AIO really only pass air coolers at the higher temperatures (say 70c+ and not always) and they generate more noise generally. The i5 runs so cool at normal loads that it won't see much advantage. I am not against AIO in general, but I saw little difference when I tried them out.
Motherboard: Asus Z170-A ATX LGA1151 Motherboard ($150.88 @ OutletPC)
You can do better, you can do worse. Make sure it has the WiFi you want and the I/O setup you want.
Memory: Crucial Ballistix Sport LT 8GB (2 x 4GB) DDR4-2400 Memory ($50.11 @ Amazon)
Go ahead an get the 2x8 at this point.
Storage: OCZ TRION 150 240GB 2.5" Solid State Drive ($59.99 @ Newegg)
Why not get rid of the HDD and get a 500GB SSD? If I was building a new setup today, this is what I would do.
Storage: Western Digital Caviar Blue 500GB 3.5" 7200RPM Internal Hard Drive ($42.60 @ Amazon)
See Above.
Video Card: Asus GeForce GTX 1060 6GB Dual Video Card ($294.98 @ Newegg)
I prefer the Nvidia cards, although AMD is doing a pretty good job with their 480 series, and you could save some money at the expense of a little more heat/noise (Although even there they are doing a great job). Apparently the 480 doesn't OC at all though. If you want to OC, go with the 1060.
Case: NZXT S340 (White) ATX Mid Tower Case ($64.69 @ SuperBiiz)
This is really preference. I have this case and love it. (Mine is black)
Power Supply: EVGA SuperNOVA NEX 650W 80+ Gold Certified Fully-Modular ATX Power Supply ($79.99 @ SuperBiiz)
Only 80+ gold or better! Good Choice.
Other:
Total: $1055.22
Prices include shipping, taxes, and discounts when available
Generated by PCPartPicker 2016-08-22 09:48 EDT-0400
If I was going to build a system today: I assume this is your budget, so just read the following as food for thought. One thing I would do with a new build today is use a 500 SSD for main storage and setup a x2 1tb HDD in raid 0 for bulk storage. Consider it. And I already have a 250 GB SSD for my main, and I seem to fill it up all the time, even with pretty tight data management.