the i5 2500k is a beast for gaming, the standard P8P67 is decent but is only limited to Crossfire, instead I would pay a little more for the PRO version. Here is a table of comparison:
For a cooler I would recommend the 212+ for budget cooling. That cooler can easiliy get you to 4.5ghz. The more costly ones like the NH-D14 and silver arrow perform better but come at a premium price. With those coolers however, you could go towards the higher end of 4ghz, to aroudn 4.7/4.8ghz with decent temps. There are some water based cooler's like the Antec 920, Corsair H70 and H80 that perform similar to the high end coolers (silver arrow and the NH-D14), but are more convenient because of size.
The water based coolers in some situations perform better than the high end cooler, I personally found the H80 to be one of them.
As for GPU, pretty much depends on what resolution you will be playing and obviously what type of games. On that note PSU power will have to be worked out for the GPU and whether or not you will be going for 2 cards in the future or not. This again depends on budget.
I have compiled a table in 'Sandy Stable Club'
, here you can view people's stable overclocks, voltages, temperature, cooling and even BIOS templates. It's a reference for comparing and should help you understand which coolers are performing well.
Hope that helps