Core i7 build Looking for improvements/suggestions

You could save a lot of money just by buying all the parts separately and putting them together yourself, it would be cheaper that way, but it doesn't seem like you are going that way anyways.

You would probably save about 800 or so is my guess just by looking at your parts

I am in the process of doing the same thing. Here are some of my thoughts:

1) Which cpu? I think the 940 is neither fish nor fowl. It is only marginally faster than the 920, and might have a more overclockable chip. The premium for a small bump is hefty. But the 965 is faster and better but a much greater price. I decided on the 920. Only a mild overclock gets it into the 3.0+ range where it can drive a GTX280 or 4870X2 at 1920x1600. I do not see this needing more than a good air cooler and a decent ventilating case.
2) Which mobo? Deciding now, I picked the P6T based on a number of glowing reviews including the ease of overclocking. I did not pick the auxiliary pod version. I like EVGA for the support, but as a newer entry, it does not yet have much of a track record. In time, I think it might become a superior product. I like Gigabyte which was a bit pricier. The MSI board at $220 might be good. In the end, I went with the best and safest board with the most track record.
3) I went with 6gb of patriot 1600ram. It was actually used in an anandtech build and performed well. Corsair was also an option, but The patriot was available first. Slower ram would probably work well, but If I am going to overclock a bit, I did not want the ram to be an issue. I definitely would go with 6gb vs 3gb. Here's why:
http://www.corsairmemory.com/_appn [...] vs_3GB.PDF

4) I plan on a GTX280 or the 55nm version. It is fast enough for me, and I am just more comfortable with Nvidia. 4870X2 should be equally good for you.

5) I plan on reusing a PC P&C silencer610. It should be plenty for any single vga card.
I think the 1000 watt toughpower is overkill for you.

6) I plan on reusing a thermalright ultra 120 extreme cooler. I ordered the 1336 back plate mount. I think I will try my hand at lapping it to improve the flatness for the i7.
It seems that the cooler was used in many reviews, and the 920 got to 4.0 with it. These were on an open bench, so a good cooling case will be needed to get that high. I don't plan on anything like that. For me. 3.0 is enough and anything more that is gravy. I am planning on reusing an Antec Solo case, which has decent ventilation. I am hoping that I do not have to run the fans above LOW. I think liquid cooling is not necessary unless you are looking at maximum overclocks. It's expensive too.

7) I plan on reusing a 300gb velociraptor for the OS and active games. I would really like
the Intel 80gb SSD, but at $600+, the price has to come down some before I can justify it.
In the interim, the velociraptor is about as good as it gets, I highly recommend it.

8) I would defer the sound card and see how the onboard sound does. Any cpu savings with a sound card are negligible these days. Some sound cards seem to have driver issues. Remember, you can always add one later.

9) I will be using Vista home premium-64 which has performed well for me.
---good luck ---