GPU without question. 920 can (and should) be overclocked to 4GHz. Actually it's almost criminal to run this CPU at stock speeds.
At 4GHz, the fastest CPUs out there are not that much faster. Probably not enough to be noticeable in games.
It's something I have recent experience of, because I upgraded my i7 920 to a 2700K. This was out of necessity rather than intention, because I killed my 1366 mobo in a botched upgrade. The difference? Nothing whatsoever. My GPU config at the time was 560 Ti SLI.
By upgrading your CPU you'll see no benefit. By upgrading your GPU you'll see a huge difference. Consider a GTX 660 Ti.
As for cooler, I only have experience with the Noctua nh-d14 and am happy with it.
GPU obviously. i7 920 is an awesome CPU. It's only really pre-Nehalem CPUs that could benefit at all from an upgrade. Interms of which card, GTX660 Ti is actually a bit pointless (certainly by UK prices). It's £50 more than the GTX660 yet barely any faster. The GTX670 is £50 more still, but actually significantly more capable. So go with the 660 or 670 unless there's an amazing deal on a 660 Ti that takes the price close to 660 prices.