The AX series of PSU's are a little old now, I'd get this TX version. Honestly, if I had to pick one component in my system to buy the best of it would be the PSU. A faulty PSU can destroy the rest of your system if it has a catastrophic breakdown.
Video memory only matters depending on the resolution you're running really. What resolution do you plan to run at? I wouldn't bother with the 2GB unless you're at 2560x1600 or greater.
CPU's come with their own fans that you install onto the motherboard, this is probably the trickiest thing to install when doing a PC build. The one that Intel will supply is decent, if you want to overclock or just prolong the life of your CPU I'd get a better third-party cooler though. This Noctua NH-D14 is one of the best air coolers on the market right now.
Integrated graphics are basically disabled if you have a dedicated graphics card installed in your system, so it doesn't matter.
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