First Rig, Seeking Opinions $1600

You've made some great choices for your parts. I'll answer your questions first before making any suggestions.

1) I'm not sure how hot it gets in Idaho so I can't answer with certainty. However, the MoBo should come with a temperature monitoring software that will let you know how hot your CPU and MoBo is getting.
In general, a setup like yours do not require water-cooling (I'm assuming you are not doing anything extreme with overclocking). The maximum temperature that your CPU will run normally is 90 degrees Celsius (mine stays below 60's even after loads). So, if you start feeling uncomfortable with your temps, that is the only time I would suggest thinking about extra cooling. For now, air-cooling should be fine.
Since you are overclocking however, you do need an aftermarket CPU cooler. The best in terms of price and efficiency is the Cooler Master Hyper 212 Evo. If you are overclocking only up to 4.2 GHz, this cooler would be fine. If you plan to go past that, you may want a stronger blower like the Noctua DH14.

2) You don't need to upgrade anything. Your build will be able to handle SLI.

Now for suggestions:
PSU: Your choice is very good. If you want to save some money, just get the XFX Pro 750W. It is silver-rated and semi-modular.

HDD: I would just stick with the WD Caviar Blue since your only using it as a data drive. Also try looking at the Samsung Spinpoint F3. It usually is cheaper without sacrificing performance.

SSD: Other choices I would also consider include Samsung 830, Crucial m4 and Plextor M3.

MoBo: Thunderbolt is a new technology. Not too familiar with it either but it allows you to chain thunderbolt-enabled devices. So instead of using multiple ports, you essentially are using one. Also, I think transfer rates are faster than USB 3.0. I would stick with the GD 65 if I were you. There are not that many Thunderbolt-enabled devices at the moment. Other MoBo's I would also suggest are the Asrock z77 Extreme 4 and Gigabyte z77x=ud3h.