Wow... lots of questions! You'll have some fun building your new system!
On the CPU HSF question, if you don't want to overclock, you can go ahead and use the provided AMD unit. But by all means, I would scrape off the pad and use some Arctic Silver. By the way, AMD states that using any other fan than the one they provide will void your warranty on that boxed processor. Not sure if they would make that stick if you bought a higher quality afermarket cooler... but it's what they state on their web page.
If you DO want an aftermarket unit, I like the new TMD fan units. They are quiet and reliable. Over at www.coolerguys.com they have a nice Vantec unit for $25 and I'd recommend that before the PCToys fan.
I don't think that steel vs. aluminium case would make beans difference in cooling. It's all about the fans...
I don't have that board (yet... :-) so I can't answer your detail questions on settings and ports.
1. Stock fan is fine if you dont plan on overclocking.
2. The heattransfer pad is fine, but its easy enough to remove and using AS or soe thermal paste should provide slightly better cooling, provided you only use a very thin coat.
3. Aluminium cases are claimed to transfer heat better than steel ones.. BUT in reality it all depends on case airflow, cable arrangment and fan arrangment and efficiency.
Alluminium cases usually come out on top here, just because they are 'usually', though not allways, better designed and typically ahve more fans and better airflow.
4. regarding your bios, just go to asus's page and find the latest one, you will most likely need it to run your new processor correctly.
5. dunno about the otehr questions.
<b><font color=purple>[Rik_]</font color=purple> I wonder how many people have made their own phasechange system?
<font color=blue>[LHGPooBaa]</font color=blue> I get phasechange whenever i eat a hot chillie </b>
I recommend the zalman "fan mate 1" adjustable rpm unit that works with any 3 pin fan plug. You can cut your rpms in half. I run it with my p4 at 1700 rpm, and the temps are still reasonable. I wouldn't recommend it for overclocking, but I prefer a quiet system. It's only $5-7.