maybe look at the tiered list of PSUs if you havent already. I don't remember seeing that PSU on the list of tier 1 or 2 PSUs, which is what you want.
Some of the more popular choices for PSU would be PC P&C 610 or 750, Corsair 550, 620, 650 or 750. the 620 is modular which is nice. they are all quiet.
The E8400 is nice. Where are you going to buy it from though? Most places are out of stock atm and newegg will list an expected by date if it is coming in 2 weeks or less, and there is no date listed.
About SLI - either do it or don't do it when you build it. Most people don't wind up adding a second board later because by the time they are ready to upgrade to a better graphics card, a single card has been released that is better than adding a second card of the prior generation. And as for doing it when you build it, the only way i can see doing SLI over a single card is if you are going to go with two 8800ultras. If you decide not to do SLI you can save $ on your mobo (for example, GA-P35-DS3L is a good stable OCer and is inexpensive because it lacks RAID and SLI.)
PCI-e 2.0 won't do much for you. PCI-e 1.1 is fine. This is like expanding from a 4 lane to a 6 lane highway, but there is only enough traffic to fully use 3 lanes.
RAM - ram is practically free now. Get 2x2GB or 4x2GB or even 4x1GB. Crucial ballistix is always a safe choice. If you like you can check the mobos approved RAM list to makes sure what you pick will work (it will probably work even if not on the list).
Cooler - educate me. why did you pick nirvana? Are you a huge Kurt Cobain fan?
My old favorite was thermalright, my new favorite is:
XIGMATEK HDT-RS1283 120mm CPU Cooler - Retail $39
Looks like the thermalright ultra-120 extreme, but actually beats thermalright's benchmarks and is cheaper and comes with its own fan which is attached using silicone mounts, not a poorly constructed clip.
Here is the review with comparisons to all the other heatsinks on page 5:
FrostyTech's CPU Cooler Review
For just slightly more than a 8800GT + aftermarket cooler you could have an 8800GTS (G92) 512K which on most benchmarks is slightly better than the 8800GT.
case? Antec nine hundred = excellent cooling (200mm fan on top!), you will probably hear some fan noise - great choice for OCing. Antec P182 = good cooling, very quiet (according to silentpcreview). Silverstone and Lian-Li cases are nice but expensive, Coolermaster cases are also very nice choices.
optical drive? HDD?
oh, and 800MHz is fast enough by the way.