if you're going to use the i5 2500k with the gtx 560 ti, the igp will not be needed unless you want to use intel's quick sync. according to this page
, hd 3000 and the 9400gt are about equal. hd3000 doesn't support nvidia's physx.
for physx the 560 ti alone should be enough. you could use the 9400gt for physx. you'll need to enable it as a physx card while you use the 560 ti as the main gfx card.
you should get a z68 motherboard for the 2500k, it's more feature-complete than h67 or p67. z68 lets you use the igp, but it's not necessary if you use a discreet gfx card.