i7 920 comes with a heatsink with applied thermal paste, i was going to use the oem heatisnk but decided to get the H50 for 30 bucks! At bestbuy( i have all these discounts from rewardzone ;p) My CPU ranged from 20 c to 30 c on stock clock, overclock on the weekend!
But th heatsink should do ok, if intel packages it with the processor, it shold be good. Just check the temps.
You have everything you need except the operating system, but I assume you are going to load Windows 7 64 bit.
You do not need an aftermarket heat sink fan (HSF) and thermal paste because the i920 comes with the Intel stock HSF. However, this HSF is not very efficient and is noisy under load. Even if you never overclock the processor, it is still wise to replace the HSF with an aftermarket product because the processor will run much cooler and be happier.
I would advise that you buy it now, and install it before you put your motherboard in the case. You could buy it later, but you would have to take your motherboard out of the P193 case to install it, and besides being a PITA, it is somewhat difficult to uninstall the Intel HSF.
To answer your question, no, you aren't missing any typical components. After you get your system built, however, keep an eye on temperatures. Adding or replacing a fan is not uncommon, but for your build I doubt that will be likely.
I would have shaved 200W off the PSU, but that's neither here nor there. If you don't already have a drop, consider getting a wireless card.