Why didn't you just lump all your questions into one post.
I'll answer some of your questions here.
Dont bother with a CPU shim, you dont need it. If your dying to know what one is then do a search on them. Plus you can see what they look like.
Thermaltake Volcano's are pretty good coolers. I personally like the 7+ but the high speed setting can be a bit loud. If your not overclocking dont bother with buying a different cooler. Just buy a retail CPU.
Retail CPU's come with a thermal pad. The CPU and thermal pad are just fine for running at stock speeds.
AMD or Intel, whatever your preference is. They both excel at gaming and the cost difference is almost negligable.
The price difference is only negligible if you buy a Barton 3000+. All of the other AMD excell at overclocking, a 1700+ easily to reach 2600+ speeds, and a 2100+ (ALL TBREDB's)will reach what is around 3000+ speeds. (TbredB PR.) These processors are much cheaper than a Intel, also. If you are looking for a good HSF, I would not buy a Thermaltake. I have had horrible experiences with all 3 HSFs I bought from them, let alone coming with one of the worst fans being made today. I have been told that the new Thermaltakes are nice, but I personally avoid the brand like the plague for everything except their cases. (Pity the fool who tries to install water cooling in a Xaser III, though.) I would recommend a Thermalright SLK-800 With a fan suiting you noise/performance preference (SLK-800U if your mobo will fit it) or a Swiftech MCX462+ with a fan suiting you n/p preference (I use one with a Tornado and its kick ass but sounds like a... well it sounds like a tornado.) If you want a very quiet setup with low performance(around that of a stock HSF), go with one of the flower coolers from Zalman.