You could get a quad core if gaming is your main priority. Most games utilize 2 cores. The FX4100 is a good budget CPU so you could take a look at that.
Get an AM3+ motherboard for future-proofness
ASROCK 990FX EXTREME 3 AM3+ AMD 990FX ATX 4 D3 2100 GLAN USB 3.0 ESATA: Amazon.co.uk: Computers & Accessories
Get a 6870 instead of a 6850
Sapphire 11179-09-20G HD 6870 1GB GDDR5 Graphics Card: Amazon.co.uk: Computers & Accessories
You need dual channel RAM
G-Skill 4GB Ripjaws X DDR3 1333 Dual Kit - Red: Amazon.co.uk: Computers & Accessories
Get a modular power supply
Antec TP-550 True Power 550W ATX12V PSU: Amazon.co.uk: Computers & Accessories
You don't need to buy extra thermal paste. The stock cooler will come with some. But I recommend you buy this cooler if you are overclocking. This cooler will come with a little bit of thermal paste
COOLER MASTER RR-212E-16PK-R1 Hyper 212 EVO CPU Cooler (EU Version): Amazon.co.uk: Computers & Accessories