CPU - i5-2500k
Motherboard - P67 or Z68 (recommend z68)
RAM - Corsair 1600MHz 2x4GB sticks DDR3
GPU - x2 570s SLI or x2 560Ti's SLI (depends on budget)
PSU - 850w for SLI 570's modular PSU (Corsair, Antec, Enermax, SeaSonic, XFX) - 750w for SLI 560's
HDD - SpinPoint F3's RAID0
SSD - OCZ Vertex 3 or Agility 3
Case - HAF X is over-size for this build really, but case should be down to personal choice more than anything.
GPU's have their own cooling fans so they should keep themselves cool.
Watercooling is obviously an option for either CPU or GPU or even a loop for both. However that comes at quite a cost and requires, what id call to be, some fairly extensive knowledge.
Aftermarket CPU air coolers usually consist of: Arctic Freezer 7 Rev2, Hyper 212+, Noctua NH-DH14...theres really loads and loads of different ones. All you really need is something that will fit socket 1155. Personally im very pleased with my Arctic Freezer 13, but others will obviously all have different recommendations.
HAF X has space for front and side intake fans. This should be drawing in plenty of cool air for your GPU's.
Watercooling generally isnt desirable untill you get into SLI 580's.
I believe you can buy aftermarket GPU air coolers from Zalman, however these probably arent all that much more effective than the stock air cooling. Space between PCI slots can also be an issue with aftermarket air cooling.
2 Options really are:
1) Leave them as they are.
2) Add a watercooled loop for the GPU's - Watercooling Section of TOMs Hardware is you best place for advice there.