First Gaming PC build $850(USD) budget

Nice job, should perform quite well and for quite a long time. You do need to add an operating system and some may disagree with me, but I suggest Windows 7 Professional (64bit) if you can afford it, or W7 Home premium 64bit. OEM version will work fine. The difference in price is about $40.
Also, what about a case?
Update: Just noticed that that will take you over budget. Don't change your build, it is a good PC you have planned. Save a litle more or perhaps Santa Claus will bring you the additional parts you need.
 
Looks good to me. Do you have a cpu cooler for it? The i5 comes with a stock cooler but if you plan to overclock it at all you'll want to invest in a better heatsink/fan. There are several good ones, but in light of trying to maintain a budget the one that many people recommend is the cooler master hyper 212 evo. It's not listed on pc parts picker but prices seem to range anywhere from $25-35. You may want to check newegg or amazon or others. If you already have a cooler then disregard that.