iirc the zalman comes with a tube of Zalman thermal paste, it's probably not the best product available but should be more than adequate if you're not overclocking
BIOS - Basic Input Output System, the screen where you set all your voltages, memory timings etc when first booting a computer.
Are you going to use one or two kits of memory? If it is one kit the memory should be OK, I'm running 2*2GB 1600MHz with no problems. If it is two kits you may encounter problems as it places a large load on the Northbridge. You'll have to set the speed (1600MHz) manually in the bios as it will default to 1333MHz. I suggest you use the white DIMM slots too btw
Which operating System are you going to run?