So I'm going with this setup:
AMD 965BE C3
Gigabyte 790XTA UD4 mobo
ATI 5870
2x2gigs of 1333 RAM
Zalman 600W PSU
 
Now, is there any reason why should I go with a core i7 920 (LGA1336) with triple channel ram setup?
 
Also, should I go with a CoolerMaster CM 690 or a Thermaltake Eureka (can get both of them for the same price)
 
Any input would be greatly appreciated!

For gaming you will get the same or similar performance with the 965. The i7 is only pertinent to gaming in 3 card setups and above, due to having faster bus speeds and no PCIe limitations. As for the power supply, I think Thermaltake is probably a better brand than Coolermaster (Cooler Master specializes in cases and really only dabbles in power supplies). 

Corsair generally make the best PSU's around, theres a very nice 750watt modular unit they produce.  I'd personally go for a happy meduim and pick up a LGA 1156 Core i7 or i5 over the Phenom.  Phenom's are ok if you on a budget but theyre still not up to scratch with intel's latest offerings and with LGA1156 you still going dual channel instead of triple so you'll save money on your dimms.  Cant go better than a 5870 at the moment so thats a solid choice, however Nvidia are due to launch the new GTX400 series in the next week or 2 so i would suggest holding off on that purchase just a little longer.

920 will kill any amd cpu any day of the week.Is it 920 worth it ,not really.Whats your budget ?

Microcenter (if you have one locally) has $200 i7 920's -- if you know what you're doing you can hit 4ghz on them with the right stepping (d0) and good air cooling.  I also have to highly recommend a corsair power supply.  I have the 750watt and it's awesome. 
 
 As for the benchmark, you're comparing a 965 (stock@3.4ghz)  oc'd to 4ghz vs. a stock 940...   If you look at the cpu benchmarks even the i5 750 @ 2.66ghz beat it.  Now a 920 or 930 will whoop up on a 965 with an easy oc.  You really need to look at more cpu bound benchmarks. 
 
http://hardocp.com/article/2009/01/07/amd_phenom_ii_x4_model_940_black_edition_processor/4  
 
That shows the 940 (I know it's slightly slower, but you get the picture). 

" So I'm going with this setup: AMD 965BE C3Gigabyte 790XTA UD4 mobo ATI 5870 2x2gigs of 1333 RAM Zalman 600W PSU  Now, is there any reason why should I go with a core i7 920 (LGA1336) with triple channel ram setup?  Also, should I go with a CoolerMaster CM 690 or a Thermaltake Eureka (can get both of them for the same price)  Any input would be greatly appreciated! "

" Microcenter (if you have one locally) has $200 i7 920's -- if you know what you're doing you can hit 4ghz on them with the right stepping (d0) and good air cooling.  I also have to highly recommend a corsair power supply.  I have the 750watt and it's awesome. 
 
 As for the benchmark, you're comparing a 965 (stock@3.4ghz)  oc'd to 4ghz vs. a stock 940...   If you look at the cpu benchmarks even the i5 750 @ 2.66ghz beat it.  Now a 920 or 930 will whoop up on a 965 with an easy oc.  You really need to look at more cpu bound benchmarks. 
 
http://hardocp.com/article/2009/01/07/amd_phenom_ii_x4_model_940_black_edition_processor/4   That shows the 940 (I know it's slightly slower, but you get the picture).  "

I use a 920 (have it OC'd to 4.0 GHz on water). If you want more bang for your buck now though, you may want to go for the i5 instead of the i7 (you won't get triple-channel, but it will be more powerful, at least for the price, if I recall correctly -- haven't checked prices/specs recently). The i5 doesn't use LGA1366, the socked the i7 uses, and that the i9 (the coming 32nm cpu) will use, so the i7 has better upgrade potential.  (since you won't need to buy a new mobo should you decide to get an i9). 
 
I don't really know much about the AMD one though. 
 
EDIT: apparently its not called the i9, they are calling it an i7 980X. Its still the 32nm gulftown architecture. 
 Also, I don't think that it will make a noticeable difference gaming (compared to another i7 anyhow). So its probably not worth worrying about, not that you were.