A locked i5 (non overclockable officially but overclockable "unofficially" via BCLK overclocking) on a Z170, are you planning to overclock the CPU? If yes then you have 2 paths, one with BCLK overclocking (i5 6500 is the best choice here due to higher base clock), another one is the 6600K which supports overclocking officially.

GPU battle - this one has to be decided next week because the review and benchmark (official one) of GTX1060 haven't released yet (19th July), but from the current info that we have, GTX1060 is more worth in money.

CPU cooler can be dropped to save cost if you aren't going to overclock the CPU.

Yes 6400 is cheaper but by adding another RM 60 for extra 0.5GHz bump on base clock on 6500 is very worth considering if the overclock fails (or not reaching the expected speed due to voltage limit, temperature etc), you still able to get > 3.0GHz where most of the games run better on faster CPU speed, especially single threaded games.

If you are hoping to get more frame rates from overclocking, you can consider opting for faster DDR4 RAM too, Skylake does benefit from the faster memory speed, Corsair Vengeance LPX 3000MHz RAM is a good start, just fire up the XMP profile in BIOS and you are good to go.

Get a 3000MHz RAM, but that's just a pure suggestion, not necessary need to follow, Skylake CPU runs better with faster RAM, that's it, if budget cannot fit then just stick with value RAM (2133MHz).

Edit: BCLK overclocking will mess up the speed of other components too, especially RAM speed, value RAM is not meant for overclocking, so you need to monitor the temperature of the RAM (and voltage too), if it gets too hot then please return to stock speed or reduce the BCLK multiplier to avoid any potential damage to the components.

Intel Core i7 6700 - RM 1305
Gigabyte B150M-D3H (D4) - RM 379
Kingston 8GB DDR4 2133MHz Value RAM - RM 147
Palit GTX1060 6GB GDDR5 Dual Fan - RM 1249
WD Blue 1TB HDD - RM 209
FSP Hexa+ 550W - RM 188
Tecware Alpha - RM 199
BenQ GW2270H - RM 397

Total: RM 4073 (ETech price inclusive of GST)

You can learn from chubbyqq too if you want to save money by using the Lazada voucher on Techview's GTX1060 Mini listing, the money saved can be used to get a 120GB SSD.