As most components nowadays are practically plug-n-play, notice how I say practically, they should run if installed correctly. The main thing you need to concider is compatability with things like socket types, form factors, case limitations, and what your overall goal for the build will be.
First I'll start with the Mobo.
I have had only one DOA Gigabyte mobo, and I try not to let DOA's ruin my experience. They are solid boards and the fact that this one is supporting many of the current and some future tech is impressive for the price. The Dual BIOS saved my last rig, as one became corrupt it loaded from the backup and copied BIOS data over. The only setback on this board is the fact that you'll be limited to 2 DDR3 slots.
The CPU is pretty solid for the price, I believe around $125. If you are planning on doing some high-end gaming, don't expect to push max settings even when paired with your GPU. Also, this processor is a bit limited in terms of overclocking, but needless to say it should still perform very well. Good thing you are getting the aftermarket cooler, Intel is notorious for pairing great CPUs with lackluster cooling fans.
Graphically the 9500 GT is pretty outdated. If you have the extra funding, I would swap it for the GTX 640. The 9500 GT will get you through most games at medium settings but don't expect it to handle future titles very well. Also, I would recommend sticking with a trusted brand, EVGA and Gigabyte GPUs haven't done me wrong yet, some of my clients have bad experiences from low-end manufacturers and I have heard mixed reviews about the MSI cards.
The RAM should be compatible and the fact that it is low profile ram makes it great, I'll explain in a bit when I talk about the Coolermaster. You might want to evaluate whether 8GB is going to be enough in the future, but for starters it will definitely be compatible.
Storage is questionable. Future state is going to be SSD all the way, with the faster boot time and read/write speeds...plus the things are silent. 1000gb is quite a bit of storage. My advise when it comes to storage is to dedicate a drive for OS/Crucial Software, then have an additional drive + external for media and documents. Don't forget cloud storage as well. But if you want to know if it works, it most definitely will.
CPU cooler: This thing is a beast, make sure your case has enough "real estate" to fit it in there. This is where the low profile RAM comes into play, the CPU cooler has a fan mounted to one side, if you end up wishing to add an additional fan, you will be glad your RAM doesn't stick up an extra inch. I ran into this problem with the exact same CPU cooler and my Corsair Vengeance RAM. Had to settle with one fan, but the heat dissipation is top notch. Ditch the stock thermal paste and get some Arctic Silver.
I would like to know what case you are installing this into. It would really ruin your day if you purchased all of this stuff and find out during the installation that the case isn't the right form factor as your mobo.
Hope this helps, feel free to PM me. I'm newer to the site but pretty savvy when it comes to components.