AMD processors run cooler than equivalent Intel ones. Intel processors use more electricity due to their faster clockspeed and high leakage associated with the architecture made with 90nm technology. Standard Athlon cooler should be sufficient to deal with the heat, but noise could be a factor. I'd personally get aftermarket cooling for it.
And for the record, it's the Athlon 64 3000+, not to be confused with the performance FX range which will cost over $1000 and have no distinct advantage apart from gaming.
For power supply, it's more important getting a proper brand name PSU rather than some generic 500W one. With the current specs your PC would not use significantly more than 200W of electricity so anything above 350W should do.