Please check my specs for this budget gaming build. Going to be used to WoW, COD5, and possibly FarCry2. I guess I am up in the air on the MB and RAM. Going to try some OCing but planning on using the stock fan at first. I'm ready to purchase and want to make sure everything looks cool.
The 400CX should be alright, but a little more would probably be preferable if you will overclock. The MB you picked is decent, I would probably go with either a step up or a step down from that model though, as you won't really lose anything taking a step down and taking a step up you get a few more features that are nice, as well as better overclocking. This is the step up from that board: GA-EP45-UD3R, the step down would be: GA-EP43-UD3L. I would encourage you to OC, your games will see a benefit from it, but that is up to you.
Just stay with the E5200 and get a decent CPU cooler for it. Overclocking is really very easy, its only when you go for really high levels that it gets difficult. If you were to overclock to like 3.6ghz with the E5200 it would be easy, and there would be a ton of people here willing to help you figure it out as well. At 3.6ghz you would be outperforming the much more expensive Core 2's like the E8500 with a $70 chip.