I think this all should work together, but am not really sure.
Also after reading around the forums here i noticed that since the motherboard i have selected only supports up to DDR2 800 i will have a bit of a bottleneck seeing how the FSB of the proc. is 1066 is that correct? The motherboards that support 1066 are expensive.
One more thing i'm really unsure of is what Watt power supply i should get, any advice on this?
The ram you're getting is 800mhz. It'll be detected by mobo just right. They're saying IF you get faster ram like 1000mhz, you could change the ram settings in bios. My friend had been running his 800mhz at 667 until I took a look at his bios. He's getting the most out of it. You should.
For gaming, the X1950XT is a much better video card than the X1950Pro. It's 180 after MIR at Newegg. With memory being so cheap, you might be able to splurge on the 8800GTS 320MB version. If you can fit it into your budget then that is what I would do. For gaming, you want the best video card you can afford, the CPU is secondary especially with the overclocking capability of the C2D.
Since you mentioned overclocking, get the E4400. It only has 2MB of cache but this is really insignificant compared to the fact that you get a multiplier of 10 with this bad-boy. Easier overclocking than the E6420.
Good RAM & motherboard. That mobo is sweet for overclocking as I have one and took my E6400 to 3.2GHz. But the multiplier on it is only 8. At only a FSB of 333MHz, the E4400 will achieve 3.33GHz.
Get an aftermarket heatsink. The Arctic Cooling Freezer 7 Pro is inexpensinve (~28 at Ebay) and is very good. You can get some to achieve better thermals but the cost is going to be that much higher.
As far as PSU is concerned. If you need a case, go over to eWiz and get the Antec Sonata III. It has a 500W PSU that will suit your needs just fine.
If you don't need a case, the Antec TruPower 650W has a 40 or 50 dollar MIR over at Newegg but only for today. For the price, it can't be beat.
For hard drive, get the Seagate Barracuda 7200.10 Perpencidular Drive 320GB SATA II.