For $20 more - I vote 860. It sounds like it may be more than you need, but for $20 more you get a lot more out of your processor. I thought it was a deal last fall when Microcenter was selling it for $230. $200 is a steal. As warmon6 said, you get a CPU with Hyper Threading and a faster GHz - but not only is the stock speed faster, the Turbo modes crank up more as well.
Warmon6 is also correct about the video capabilities as well. To use integrated/onboard video you must have two appropriate components: First, your CPU must have integrated video built into it. This can be found on the i3 and i5 6xx CPUs. (In other words, it is not on the i5 750 or i7 8xx CPUs, or for that matter on the socket 1366 i7 9xx CPUs). Second, your motherboard must make use of the CPUs integrated video. This can be found on boards with the H55, H57, Q55, or Q57 chipset.
Mix and match an integrated video CPU with a non-onboard video motherboard, or an onboard video motherboard with a non-integrated video CPU and you'll need a discrete graphics card.
I can recommend the Gigabyte GA-P55M-UD2 motherboard if you don't need CF/SLI capabilities and you don't have many expansion cards. It doesn't have Gigabytes newer USB 3.0/SATA3 technology, and it's mATX, but it is much cheaper than many alternatives and Gigabyte has fully exposed BIOS settings that are on its higher end cards.
I see it listed as $110 at Microcenter:
http://microcenter.com/single_product_results.phtml?product_id=0318192
It's $105 with free shipping right now from NewEgg:
http://www.newegg.com/Product/Product.aspx?Item=N82E16813128405&cm_re=GA-P55M-UD2-_-13-128-405-_-Product
Here's a review: http://www.anandtech.com/mb/showdoc.aspx?i=3652