OK first of all there is no way in hell you are going to ever need 1.25 kW of power for your computer. There are people that have i7's and GTX 295's and run off of 650w PSU's and do just fine. Also I don't recommend getting a 1TB hardrive if you are going to be gaming as they are a bit slower.
If you need the 1TB of Data storage then get a smaller 300-600 GB HDD for OS and programs and a 2nd 1TB hardrive for data.
Also, about that watercooling device thingy.... its not worth it. A high quality air cooler can be 90-95% as good as watercooling for a fraction of the cost.
For the CPU, do what helloworld said and get an i7 920 and OC it to 3-3.2 GHz. A 4GHz overclock is kinda pointless as it requires you to pump a ton of voltage through that proc which uses a lot more power and can greatly reduce the lifetime of your chip. In my experience, a light overclock with little to no voltage increase yields the best results. For gaming, the difference between 3 and 4GHz is only like 2-3 fps anyways.
For the graphics card... there is absolutely no point in getting a single, dual gpu graphics card in an SLI mobo. 2 GTX 260's in SLI perform almost as well as a single 295 for $150 less. Only get the 295 if you are planning to get another one in the future for quad-SLI.