Firstly, reconsider whether you want to purchase the 1366 socket over the 1156. The new 1156 Sandy Bridge CPUs are scheduled for release 05/01/2011, might be worth waiting to see how they perform. There isn’t much between each socket performance wise. If multi x16 lane PCI-E capability and triple channel memory are high on your list, then 1366 is the clear choice. I’ve not seen either of those features really make any real difference in game.
Have a read around, you’ll come across articles like this that pinpoint the differences.
http://www.overclockers.com/core-i7-head-to-head-1156-vs-1366/
If you do decide to stick to the 1366 socket, the best CPU for the money would be the i7 950. At ~$320 it is very closely priced to the 930 and it is most likely a higher binned chip that will OC a bit better. If you don’t decide to OC, it is already a quick CPU. The 920 is long gone, but if you can pick up a D0 revision somewhere cheap, it would be another thing to consider as they clock hard.
In regards to after market air cooling, there are so many adequate coolers out there that it really is just up to you and how much you want to shell out. Find something you like, find a review, post it here if you want a second opinion. The Prolimatech Megahalems is a good cooler, just remember to factor in the price of fans as it doesn’t come with them AFAIK.