My thoughts on the general setup:
That board looks like it'll be absolutely glorious. I haven't seen any reviews yet though.
That chip is the one to get for extreme cooling on a modern platform. Be aware that without LN2 you won't get too much in the way of hardware points with it. You'll get global points though.
It's worth reading through Woomack's memory testing articles/posts/threads ram wise, it (memory) makes enough of a difference to be worth an extra $30 to get good stuff IMO.
Disk wise, you really only need one disk for a benching system. Having two can be nice just so you can have a set of installed OS's on the other one in case you fry an install or two. I just have one benching SSD, personally. A thumbdrive (fastish) is very, very useful.
Some sort of test bench is nice, I use a cut apart and re-welded case, or a stack of rags. I'm a cheapskate though.
An optical drive is useful, they're cheap anyway so you might as well get one.
You're going to want
some kind of GPU, running off the onboard video drops CPU overclockability somewhat. Even a 4350 will do the trick from that standpoint.
A last thought on the initial setup, from the standpoint of extreme cooling: It's easier to bring yourself to brutalize cheap parts.
You may want to buy a socket 775 setup to brutalize. A totally reasonable motherboard costs ~$50, chips run $8 to $100, tons in the $20-30 range that make good points. Best ram out there runs $40.
That's how I started.
PSU wise, a
really good 600w will do you better than a good 850w as far as CPU only benching goes. The difference isn't likely to be very large until the absolute ragged edge though, so you can worry about that later. That 850w will do you just fine for most anything, up until you start wanting to run multiple GPUs in benching/cold mode.
I second the motion as far as a koolance v2 goes, if you can find one for $100ish grab it, they're fantastic on Dry Ice and not bad at all on LN2 if the chip doesn't have a coldbug (good 3570k/3770k chips lack coldbugs).
You won't go wrong with a F1EE though, you can sometimes find them with extension (good/needed for DIce) for $200ish used.
Second to lastly: Get used to buying used, it's
way cheaper for a lot of this stuff, and many of the "best" parts aren't sold new anymore.
Lastly: I'm excited to see your excitement about getting into benching! It's grand fun
EDIT:
I'd steer clear of CFX for now. Due to how the points at HWBot are set up, a single top end GPU gives
far more points than 2-3 lower grade GPUs.
Right now, just grab a 7970. Or grab something older like a 8800 series card and go for hardware points rather than globals. They're also nice because voltmod guides are everywhere and you can find the cards for $20-$40.