I'd agree with the sentiments above about an SSD; they've hit a price point where they're worthwhile. Likewise on the CPU.
Personally, I'd go with an ASUS motherboard. All I use for my own builds at this point. MSI used to be a decent name, but they've started cheaping out... got one that only 3 out of 4 mobo fan headers had PWM (speed control) and spent WEEKS trying to figure out why I couldn't turn down the last fan from 'hurricane'. Also uses a weird-ass temperature monitoring chip that can report some really screwed up (wrong) values. It just isn't worth it to me, to save $30-50 on one of the core elements of a system that I may be using for 5-10 years.
I wouldn't bother with a closed-loop cooler. Generally they're a lot more trouble than they're worth. Properly designed air cooling will work just as well (if not better) than most of the one-stop-shop closed-loop systems out there. If you were going for a full water-cooling setup (CPU, GPU, possibly RAM) it could be worthwhile... but those carry their own risks and headaches.
I'd disagree STRONGLY with Sapiens up above. A 750W PSU will almost ensure that you don't get any weird power issues... usually this is one of the newbie system-building mistakes, to cheap out on an underpowered budget-grade PSU and wonder why you're getting BSODs, instability, graphical artifacting, etc. For a serious workstation (eg: not just a Grandma's Email Machine) I won't put in anything less than a 700W unit. Affords extra margin for power load, and if you get an 80+ unit the power efficiency is still pretty good (after all, a 750W PSU doesn't ALWAYS draw 750W... mine usually pulls around 260 during average use, but spikes while gaming).
I'd also disagree with Sapiens on RAM. 16GB is a good amount that can ensure that you won't run out or have low-memory issues. Additionally, if you want to have some fun, you can set aside 4-8GB (if you aren't actively using it) as a RAM drive and mirror your game of choice onto it. Loading times don't EXIST at that point. :D