Good read! Welcome back man!
I've been doing this for over 10 years now and its all I know. I love this stuff.
As for your questions...
AGP was replaced by PCI-Express probably 4-5 years ago. Its significantly faster than AGP and can be used with more than just graphics cards. Also, anything that uses a PCI-E 1x, 4x or 8x connection can go into a 16x slot which makes it a very flexible interface.
There were a few (terrible) Geforce FX series cards in PCI-Express but the Geforce 6000 series is what really pushed a lot of people to PCI-E (though they did make AGP versions as well and that is what I had). They also supported nvidia's new take on SLI, which allowed two cards to be put in the same board and connected for twice the processing power (similar to 3dfx, but a bit different). This was impossible with AGP because not only was there not enough bandwidth available, no boards had more than one AGP slot.
With power supplies, graphics cards suck so much more power than anything else in a system that you can almost exclusively use your graphics card to determine what kind of power supply you need these days. I think power supplies have really been an important part of a gaming system for probably the last 5 or 6 years. Before that I don't think the average gamer had to worry about it much as long as they had a 300+ watt unit. Now you have to pay attention to the distribution of amps on the 12v power rails and the specific make\model more than the overall wattage.
As for your cooler, you can stick that on if you ever decide to overclock. That setup you have is a monster, for sure, but your 2.66Ghz CPU could probably hit 4Ghz or higher with the right cooler. I'm not too familiar with the coolermaster you have but it seems to be a very nice cooler:
I'd recommend putting it on there when you get the time. You'll most likely have to take the board out to install a new mounting bracket. Your system will run quite a bit cooler, but most importantly, you'll be able to overclock to get the most out of your setup.
BTW, yes, modern Intel CPUs easily overclock by more than 1Ghz on air cooling. Even on a quad core with hyperthreading.