Does that 8350 need a Cooler?
It doesn't NEED a cooler, but it's highly reccomended as the AMD stock cooler isn't all that great, and you basically can't overclock without an aftermarket cooler. Also, if you wanna really overclock, you're gonna want more of a cooler than that Zalman one. This is the most popular cooler, I actually have it, good build quality, nice quiet fan included, and keeps my processor (i5 2500k @ 4Ghz) nice and cool.
http://www.amazon.co.uk/dp/B0068OI7T8/?tag=pcp0f-21
is it (overclocking) really easy or what?
Yes, it's pretty easy. Just watch/read a few tutorials. I found this one very thorough and useful:
http://www.youtube.com/watch?feature=player_detailpage&v=mBEeXajbG2o
The video is how to overclock an Intel CPU, but the basics are there. There's also written instructions in the description of the video, if you prefer to read. I think it's really useful to have a tablet or laptop with you whilst you overclock because you will mostly be in the BIOS/UEFI.
what part is mod capacity coming from?
Don't quite get what you're asking there.
If I was to overclock it to max, would I need a better PSU?
Nah, you're good. 650w is more than enough for that hardware, and it's a reputable brand, so no problems there.
could the MOBO manage a fully overclocked 8350?
Well, that depends on what you mean on "fully". Personally I wouldn't push a 8350/8320 past 4.5Ghz without REALLY good cooling. That being said that motherboard will be able to handle overclocking well, it has an 8-pin CPU power connector so there's enough power passing to the CPU. Also it has some nice VRMs, which are the blue heatsinks, these help with heat dissipation.
What about an 8320?
Well, an 8350 is basically an 8320 with a factory overclock, meaning you pay extra for AMD to overclock it. It is arguable that the 8350 is slightly more overclockable but only on high-end motherboards with high-end cooling solutions. Basically, I'd definitely go with the 8320, overclock it to 4.3Ghz or so, and spend that money elsewhere (or save it).
Now on to some stuff that I'd just like to say.
That case doesn't look very high-quality to me, maybe it's just not my taste, but I'd look at something from Fractal Design, Corsair, Cooler Master, something like that. It'll cost you a bit more, but IMO it's worth it, since it's all you ever see of your computer. This case is a good starting point:
http://www.amazon.co.uk/Corsair-Carbide-Series-Compact-Computer/dp/B009GXZ8MM/ref=wl_it_dp_o_pC_S_nC?ie=UTF8&colid=1TK42VGDXSODK&coliid=I15O241MCSLX5K
Also, 2133Mhz RAM really seems like overkill to me, you will see a very minimal increase in performance from anything over 1333Mhz. I'd go with something like this:
http://www.amazon.co.uk/Corsair-CMZ4GX3M1A1600C9-1600MHz-Vengeance-Memory/dp/B004CRSM48/ref=wl_it_dp_o_pC_nS_nC?ie=UTF8&colid=1TK42VGDXSODK&coliid=I2L1ZWKIVOP0QA
You can save some money, and it's pretty much the same gaming performance.
http://www.youtube.com/watch?feature=player_detailpage&v=dWgzA2C61z4
^See above video for my source on RAM speed benchmarks.
One last thing I can recommend is that you watch a bunch of different build videos, see how different people build their computers, and learn. Maybe you already did that, I probably watched more than 15 videos on how to build a computer when I built my first, just so that I could learn all there is to learn about the building steps.
Good luck with your build!