CPU cooling is quite reasonable actually ... they use custom-made heatpipe coolers placing the radiator of the heatsink right on the back surface of the case with an exhaust fan controlled by the motherboard depending on temperature.
If you're into overclocking, be very careful in which shuttle you choose as you'll be limited by the motherboard. My last shuttle (SD32G5) wasn't bad, but it's particular 945 chipset wasn't so brilliant. Took my e6600 to 2.93GHz but if I took it any higher the hard disk drive controller would fall over and die, which wasn't so useful for getting into windows
As for the power supplies, shuttle PSU's have shown themselves to be insanely reliable, easily supplying up to and above their rated power whilst maintaining high efficiency. The general rule of thumb is that if you can fit it inside the case, the power supply will power it.