E8400 is a great CPU for general use. I used to have it and was able to overclock it to 4.0ghz on good air cooling without many problems. The factory heatsinks are not sufficient if you are planning on overclocking. If you want to overclock, look for a new heatsink with a 4 or 6 or 8 heat pipe design with a grill, those work best.
That motherboard is a pretty decent choice. It has plenty of connections for everything that you have, so you wont have to worry about that.
The memory you chose is more than you'll need. With the e8400, you'll only need ddr2 800mhz memory.
I had this memory combined with my e8400 and it ran well (they overclocked over to 1100mhz no problem):
Newegg.com - G.SKILL 2GB (2 x 1GB) 240-Pin DDR2 SDRAM DDR2 800 (PC2 6400) Dual Channel Kit Desktop Memory Model F2-6400CL5D-2GBNQ - Desktop Memory
Or go with the 4gb version for a little more:
Newegg.com - G.SKILL 4GB (2 x 2GB) 240-Pin DDR2 SDRAM DDR2 800 (PC2 6400) Dual Channel Kit Desktop Memory Model F2-6400CL5D-4GBPQ - Desktop Memory
The graphics card you are looking at is going to be the bottle neck if you decide to do any sort of high end gaming. I would suggest getting at least a Direct X 11 video card so that you are set for any thing out there right now. Heres a good option:
Newegg.com - SAPPHIRE 100284L Radeon HD 5750 1GB 128-bit GDDR5 PCI Express 2.0 x16 HDCP Ready CrossFireX Support Video Card - Desktop Graphics / Video Cards