If you buy a retail Q9450, you will get a heat sink, but it won't be very good. If you plan on doing some overclocking, look into an after-market cooler. To find a good one, look at what people are recommending in other threads like this, or just look around the forums a bit. Also, both Toms and Anandtech have had CPU cooler reviews, but they don't always include the best or most commonly used heat sinks.
1066 RAM isn't really worth it for the most part, unless you're going to be doing a lot of overclocking - then it can help give you some headroom when you have a locked CPU multiplier (like the Q9450). If you don't plan to overclock, or if you don't plan to overclock very aggressively, you should just get DDR2-800 RAM.