I'll paste your list here to save everybody a click.
Antec Nine Hundred $119.99
ASUS P5N-D LGA 775 NVIDIA nForce 750i SLI $149.99
EVGA 512-P3-N801-AR GeForce 8800GT 512MB $189.99
CORSAIR CMPSU-750TX 750W $129.99
E8400 $194.99
OCZ Reaper HPC Edition 4GB (2 x 2GB) 240-Pin DDR2 SDRAM DDR2 800 $109.99
Western Digital Caviar SE16 WD4000AAKS 400GB 7200 RPM SATA $69.99
Pioneer 20X DVD±R DVD Burner Black IDE Model DVR-115DBK - OEM $29.99
What I'd change:
Cheaper case with no annoying lights RC-690
Faster video card with better cooling 8800GTS 512MB
Fast disk with PMR instead of old stuff. E.g. WD6400AAKS
SATA burner instead of IDE. E.g. SH-S203B.
I'm assuming you want to add a second video card later for SLI. If that's true the MB and PSU are fine. If not, save money with GA-EP35-DS3R and 550VX.
The 550VX is $25 less here than at newegg, after shipping and rebates are included:
http://www.buy.com/retail/usersearchresults.asp?querytype=home&qu=550vx&qxt=home&display=col
As a general rule, SLI is not worth it if your monitor is 22" or less. There are exceptions, like Crysis, of course.
Your CPU is retail. You don't have to buy a cooler or thermal compound, unless you want to overclock. If the budget is tight, forget the cooler for now and focus on improving the video card and hard disk. You can add a cooler later. A good one is Xigmatek HDT-S1283.