Well... you could go for a water cooling setup but the Quad core chips run very cold as standard so unless you're planning on some major overclocking then it's not worth the money I couldn’t believe how cool they run compared to AMD chips.
CPU Cooler - I'm using a Thermaltake BigTyp 120 VX on my quad core because it came top in an online review of about 20 others (at the time anyway, not checked since). It's really quiet, easy to install & keeps things really cool (even overclocked). You can adjust the fan speed as well.
I recently built a PC for my friend and used an Arctic Cooling Freezer Pro. It was cheaper than mine and seems just as good
Case - Depends on how much you want to spend I've got an Antec case but the for the PC I built for a friend I used a Lian-Li PC-7 PLUS II. Really neat & smart looking case and a bargain for £60. I also built my uncle a PC at xmas using a Antec Sonata case (£80). Very impressive build quality & really quiet. At the end of the day it's all down to personal taste, just get a good quality one
Most cases come with a 120mm fan in the back & that should keep things plenty cool enough for you unless you are going for a big overclock. Remember more fans = more noise.
OS – Depends on what are you using the computer for? I've got a dual boot on my computer of XP pro ultimate & Vista Ultimate. I use Vista for films, music & surfing the net and switch to XP for any games or programs other than office. If I had to pick one I’d go for XP Pro Ultimate edition purely for compatibility reasons Steer clear of the 64bit versions. I've tried them and they're not worth the hassle of different drivers & incompatible software.