I dont know about the Megahalems, but most coolers come with one application of some cheap to mid-grade thermal goo. If you mess up the first install and have to re-apply then you will likely need to get more. Given the megahalems history of not even coming with the fan clips, you better check or just get some good stuff of your own.
I looked at your link and the megahalems says it comes with premium thermal stuff.
A case speaker is not required since the HAF922 comes with one. You might want to pick up a 8-pin ATX power extension cable to help with your cable management. The 922 has good cable management setup, so you don't need clips and at best maybe some small zipties to bunch your cords together to make it look neat.
Yes, you need thermal paste to efficiently transfer the heat from the cpu to the heat sink. Usually the stuff that comes with (aftermarket) coolers is quite enough. The more premium stuff is mostly for overclockers and those that want their computer as silent as possible. Cooler components = less noise from cooler fans.
Oh and pay attention to the instructions on how to apply the thermal paste. Some pastes are applied like painting.. as in you spread a layer over the whole cpu heat spreader, while for other pastes you need to apply only a small blob in the middle of the cpu heat spreader and then gently squash it down with the heat sink. This is because the different thermal pastes have different properties.. some are thicker and others smoother.
thanks for the replies guys, yeah i do plan on overclocking a lot so maybe i'll check out that arctic silver stuff i've seen, i'm not comfortable with the sandpaper stuff i've read about when "lapping" so I assume its ok just to put the arctic silver stuff right on the cpu right out of the box?