This is what I plan on putting in my rig:

OS: Windows 7 64bit Home Premium
Mobo: ASUS Maximus V FORMULA
CPU: Intel Core i5-3570K Ivy Bridge
RAM: G.SKILL Sniper Gaming Series 16GB 1866
PSU: CORSAIR AX860i 860W Full Modular
GPU: EVGA GeForce GTX 680 FTW+ 4GB
Hard Drive 1: SAMSUNG 840 Series 2.5" 250GB SSD (for OS)
Hard Drives 2 & 3: WD Caviar Black 2TB (for games)
CPU Cooler: COOLER MASTER Eisberg 240L Prestige
Case: NZXT PHANTOM 820

Any ADVICE, opinions or feedback would be most welcome What's your budget, where are you in the world, and what is the PC going to be used for?
Off the top of my head, the PSU is way overkill for the system, you really don't need that wattage. I would recommend the 840 Pro over the standard 840 SSD. The motherboard is extremely high end, will you be making use of its overclocking abilities? If so, consider a better CPU cooler and case (wow that case is expensive, I would never spend £200 on an NZXT case...) Also, consider the GTX 780 over the GTX 680. Finally, why the HDDs for games?
If you let us know the answer to the above questions, we'll be able to give more specific advice.Hmm, let's see., I'm in the US. I have no idea what my budget is, 3000 dollars US? I'm just buying stuff as I go. I already have the GPU, SSD and RAM. The build will be exclusively for gaming. The 2TB drives might be a bit much for storing games, but I have almost 1TB of games right now and I want plenty of space for more. As for overclocking it's something that I'd like to do, just to see how far that motherboard can go Any advice on CPU coolers and CASES? I really don't want a case that looks like a filing CABINET, that's why I chose the Phantom 820. It has a more interesting shape to it. I went with the PSU so that I can run 2 or 3 way SLI later on. Maybe my explaining a bit more here will generate more feedback OK, that helps quite a bit.
If you like the looks of the NZXT, fair enough, they're just not known for their build quality. Have a look at the Silverstone Fortress line, or if you want something a bit different, the Raven. I'm a big fan of Lian Li, but that's because my taste in cases is pretty much the opposite to yours, so they're probably not an option for you. Have you considered the Coolermaster HAF cases, too?
If you're contemplating 3-way SLI, then the AX860 MAY make sense.
The reason I mentioned the HDDs is that they're immensely slower than a decent SSD. I myself used to run a 3-drive RAID array for games and a small SSD for the OS, but eventually went for a larger SSD and just didn't install all of my games at once. If you need the space, perhaps consider another SSD instead of one of the 2TB drives - one SSD for your OS and applications and some games, one purely for games, then the 2TB can have your rarely played games stored on it as it will be much slower.
As for the CPU cooler, the issue I have with the all in one water coolers is that they don't cool any better than a decent tower heatsink like a Phantek, Megahalems, NH-D14 or Alpenfohn K2, they're no quieter, and you have the problem that if the pump fails (which I've seen quite often) you have no cooling at all. All of the above heatsinks will be on par with, or better than the kit, without its disadvantages. of course, if you prefer the looks of the all-in-one kit, that's fine, but have you considered "real" watercooling? Better temperatures, lower noise...higher cost, but you have the budget for it if you WANTED. It's something to think about.

One other thing - if you can, I would wait for the new "Haswell" CPUs to be released, which is imminent along with the Z87 chipset to support them. They will perform better with lower power usage too.I heard a rumor that the new Haswells might be released early next week But, is it wise to buy new tech so early in it's lifespan? Won't there be problems with the Haswells and the Z87's early on?Haswell is due for release in early June, yes. It brings a significant performance boost in gaming especially, which is why I would certainly advise waiting.
I've used release (and pre-release) Intel hardware without unexpected problems. The CPUs are unlikely to have any problems, even teething troubles. The motherboards may be different, you may recall Intel recalling their 6 series chipset due to a potential problem with the SATA controller. No such problems were experienced with the Ivy bridge release and the 7 series chipset, nor were there major problems with the 3, 4, or 5 series. I think it's unlikely that there will be major fallout from the release, and any small issues will more than likely revolve around the various motherboards and will be resolved through motherboard BIOS updates.
My advice would be to wait a week or so after release, see what problems, if any, the early adopters have. Remember that this tech has been out there for weeks or months in the hands of reviewers and testers. Then, if there are problems and you're not quite sure - simply buy an Ivy Bridge CPU (at perhaps a slightly cheaper price although historically Intel haven't dropped the pricing on replaced CPUs) and a Z77 motherboard (which more than likely will have dropped in price due to the Haswell release) - win/win Sounds like a plan, I guess it won't affect the parts I already have. It looks like I can get a 500GB SSD for the same price as the two 2TB HDD's. That just doesn't seem like enough room to me. I really don't want to have to install a game every time I want to play it, especially the ones on Steam, they take forever to download It is true that there are many games that I have installed that I don't play enough to warrant them taking up space on my hard drive. I guess I could just install the choice ones on the SSD until I can afford another one. I can also just leave the ones I seldom play on the 1TB external drive where they are now Spend some of your budget on a fast internet connection
Do you really have over 500GB of games you play regularly? I found that slimming down from having 1.2TB of games helped focus me to work through my backlog of games I bought on sale but hadn't yet played.
Having the games on an SSD isn't crucial, as it will only affect loading times (and prevent stutter in games that load textures on-the-fly) but perhaps you could replace one of the 2TBs with another 250GB SSD, which would give you a decent selection of games, then the rest could go on the other 2TB drive? Just a suggestion. You could use the excellent program "Steam Mover" to move games between drives as necessary - despite its name, it can be used to move literally anything. It does this by creating junction links, which means Windows and anything else trying to access the program still sees the files at the original location, therefore it doesn't break anything by moving the files. It's very handy, I used to use it when I had a small SSD to move games back and forth.That Steam Mover looks pretty cool, I just downloaded it I think I can get by with a 500GB SSD and a 1TB HDD with that program.
Cool, glad you're finding it useful Bit of a learning curve for me, but I'll figure it out