you should be able to adjust the voltages in your motherboard's bios, but at the cost of higher latency. when/if you do change the voltage, do so in as little increments as possible (my board allows this in .025v increments).
the cpu doesn't have the thermal paste pre-applied, but it should come supplied with some. however, if you think you're going to need it for overclocking down the road, then go for the arctic silver.
i wouldn't be too concerned about cooling until you've tested your system. run some tests (like 3dmark, memtest86, play some games, run multiple programs, etc.) to get an idea of how hot your system runs, then decide if you need to dole out extra cash for some extra cooling. make sure you get a computer case with good airflow. i recommend the antec 900/1200 or the cooler master haf 932.
in my opinion, water cooling isn't worth the risk. should you have a faulty water block or something, then...well, you know.
take the cautious route and you should be fine.
