Honestly, if you're not doing SLI, get a P35 chipset. They are much more stable at higher FSB speeds when overclocked and cheaper too. Plus, that PSU is probably some piece of generic shit that will not produce it's rated power.
TBH, I think that's pretty steep for an E4xxx. For only $20 more, you can have a 45nm E7200 with 3MB of L2 cache and a 9.5 multi. Overclocking potential is comparable to the E8400.
The second kit can do 1N timings at 800MHz but the first is a very good price.
Mushkin are a good brand too if you can find some of their memory.
I would personnally go with Vista as you hardware can easily handle it. I have been using it for 6 months and I wouldn't willingly go back to XP.
For the graphics car, if you're not building this right away, The HD 4800 series will be out on June 15th and they are looking good. The HD 4850 should be $200 whilst the HD 4870 will be $250-$300.