If you're runnning it stock, no point in going for an after-market cooler. Intel ships those coolers with that CPU for good reason : at stock speeds they will keep the CPU well within the required temps.
As for choice of OS there are a number of factors to consider. As an occasional gamer the Dx10 ability of vista will probably not be very important ; the majority of games for the immediate future will contain Dx9 support. An OS upgrade later is not too expensive.
The 64 bit OS will be a more important consideration. If you use your computer extensively for complex 2D images, large scale 3D work etc then it's probably worth going with home premium 64 bit oem. The key factor here is that RAM configurations above 3gb are wasted on a 32 bit OS.
The disadvantages are that there may be driver issues with older hardware on vista. In addition, the current vista eats more ram largely without a corresponding performance increase. Finally graphics drivers, although beginning to mature are not as rock solid as the xp drivers.
XP Pro 64 bit is worth consideration as a 'best of both worlds approach'. However, there is little doubt that for microsoft & it's partners, most future development will go to vista, not XP.
To summarise, I would go for XP home oem or Vista 64 bit oem ; there is little point in going vista except the 64 bit option.
That said, vista home premium oem effectively includes what used to be media centre; so if your computer is used for music, dvd, playback etc, then that would certainly swing in favour of vista.
dual booting for the win.