Each of those CPUs come with a CPU Cooler and Fan as long as you get the retail package.
The i5-6500 is the better of the three CPU's, make sure you get a motherboard that supports DDR4 RAM.
When you choose DDR4 ram get the lowest CAS RAM you can afford at DDR4-2133 Speed since the i5-6500 is not designed to be over clocked you do not need faster RAM.