Shinzuu made several excellent point there, but I do think I should point out a few things that can be worth noting:
1. Aftermarket thermal paste is indeed the best way to go, do make sure to clean off the pre-applied such beforehand, preferably using 99% isopropyl (rubbing) alcohol or as close to such as you can get (similar solvents should work as well, just make sure it doesn't contain weird additions).
As for the paste itself, my only rule of thumb is to avoid Arctic Silver 5 (usually referred to as "AS5"). It's a good but old paste, however it does contain silver and is electrically conductive (if you're careful it's fine, but if you spill over somewhere or put on too much, you can risk damaging your components). Personally I'm a big fan of the Arctic Cooling MX4 paste. It's one of the top ones and also boasts an 8-year durability rating (time before it dries out and needs to be reapplied, compared to the aforementioned AS5 that only lasts about a year at most) plus it doesn't require any "burn in" time to reach its highest performance.
Simply put; Avoid Arctic Silver 5 and get one with good reviews, I'll personally vouch for Arctic Cooling's MX2 or MX4.
2. Unless you're planning on using more than a single graphics card (I doubt it), you don't really need to pay as much attention to compatibility with graphics cards. There's 2 brands that make them (AMD and Nvidia) and all modern motherboards should support either of them (even if they only specify compatibility for one of them).
3. The case doesn't need to be gaming oriented. Usually I say go for the one that looks good to you, but also don't go with those that are really cheap. I know from personal experience that finding good cases can be a pain in the behind because there are so many different options. Corsair and Fractal Design are two manufacturers I'd vouch for. I'm personally using the Arc Midi R2 by Fractal Design which has a very good price and is an awesome case overall. They also gave me a FREE replacement front panel not too long ago when I simply asked their customer support how much it'd cost (after having scratched it and gotten some stains on it, all caused by myself).
4. Depending on which case you buy, fans aren't always necessary. Fractal Design I know bundles 2 of their own fans with the Define-series and 3 with the Arc series. These are whisper quiet and do the job very well. Filling up the whole thing with fans will also just make it loud with little benefit. 1-2 in the front and 1-2 in the top/rear will do the job.
5. Solid state drive (SSD) is recommended and much faster, but not the most important thing in the world. So you may wish to opt for just getting the hard drive in order to save some money.
6. 2 DVD or Bluray drives? Why? Many tech people are moving away from it and saying getting just 1 is optional. Personally I'd say get a single DVD drive and get the cheapest you can find (unless you like the look of a particular model of course).
DVD drives it doesn't really differ much between cheap and less cheap models, so usually any will do. I don't see why you'd have 2 though.
Only consider a bluray drive if you actually watch bluray movies on your computer or wish to do so at some point, if not it's just extra money for something you won't use.
7. Depending on the components, you won't need a huge power supply. I think 850w is a bit of an overstatement. 650W should serve you well unless you are planning to fill the computer with really high end stuff.
8. Grounding wrist bands are excellent, I have one myself that I haven't used in years!
They are cheap and do what they are supposed to. Although I don't feel they do too much. Just touch anything metal (such as your case) you should be perfectly fine.
Do work on a good solid surface such as a table however and indeed avoid surfaces and clothing that can cause static electricity.
9. There's several excellent tutorials on youtube for assembling your computer. It may be well worth investing some time in watching some of them in order to familiarize yourself with the process.
A matter of preference and cautiousness really, just make sure all of the components you purchase have Windows 8 drivers.
This should likely be a non-issue. I've had several devices that previously you needed to install drivers for in order for them to work that in Windows 8 works by just plugging it in.