Howdy, if this is primarily going to be a gaming system, yes it will make a very nice gaming system. No it won't be top of the line, but very respectable.
You don't really need 16GB of RAM, 8GB is more than enough, and I would suggest dropping to 1600mhz RAM. Phenom IIs will run it by default at 1333mhz. With my overclock on the reference clock, my RAM is running at 1480 something. The RAM speed is not what it will run necessarily, its more.. what the manufacturer guarantees it to be able to run at.
Use the money you save on the RAM to get a CPU cooler like a CoolerMaster 212 Evo.
On my BF3 pc I built I don't run any more than 8gb of Ram (It just doesn't get used)... but in saying that it is a faster speed. The reason I'm saying this is because you might want to save a few $$ and put that towards something else, however RAM is usually the cheapest part of a build so it wouldn't matter too much.
In my opinion the stock CPU cooler is barely up to keeping a stock Phenom II cool, and its loud. Yes, I would consider getting an aftermarket cooler, if you plan on overclocking. (Which you should honesty, 4.0GHZ should be no problem)
As far as the board supporting 1866mhz, that may only be for FX CPUs, but I could be wrong. One thing I am right about though, is between 1333mhz RAM and 1866mhz, theres going to be no real noticeable difference, but go with what you feel is best. If the price difference is only that small, go for it.
As far as how the system performs, I have a few people build similar systems based on my recommendation, every one I've talked to has been very happy with it. (Same CPU and video card, different mobos though, not that theres anything wrong with that board you've picked)
I'll have t make sure everything is working good before I consider OC, but Ill look into it. Also, Someone told me you can unlock the Phenom II X4 965 to 6 cores... I don't know if that's the same... but we'll see...
Also, do you recommend that brand GPU, as I've read it runs hot...