You don't have to worry about temperature at all despite what people tell you.
There is an auto-shutoff mechanism in every computer (modern computers anyway) that will shut it down if it gets too hot. You will notice freezups and glitches first though.
Macs feel hotter because they are made of aluminum and the heat dissapates through it much more efficiently then plastic.
No need to worry about the heat from gaming in windows or anything you will not break your mac. If someone tells you otherwise they are wrong.
This is correct.
A lot of people go bananas when they touch the casing and its good to fry eggs on. As chrono says, this is normal, desirable behavior - its removing heat, this is A Good Thing. It is also correct that the mac will shut itself down if temperatures are risking the CPU or anything serious like that.
The only point I'd differ on is in regards to the internal HD. Heat reduces HD lifespan, it's a fact of life. All HDs die one day - hot ones die sooner (on average). Apple has designed the iMac well - but it was designed to run OSX under normal loads for a few years. So as I say above, if you are doing "abnormal" things with your hardware - for example, hardcore gaming in Windows for couple of hours every day - then it's not crazy to install a temp monitor and manual fan control. You don't have to; most people don't. Basically just what I said up above - if you want your HD to last for longer than "normal", or you really push your hardware, or you are paranoid, then it's an option you can avail yourself of.
In general use though, the iMac works fine, don't stress it. You've always got Timemachine if you are unlucky and your HD does sputter out on you.
Re the "what fan speeds should I set" question - well, it's personal preference. For myself, I've read that HD lifespan starts to drop dramatically once you are over 55C for sustained periods. In light of that, I set my fan speeds to keep things more or less 50C or under. Again, higher temps for short periods aren't a major issue. It's more a case of running at mid 50s plus for hours over an extended period.
Just to underscore, I agree with chronos basic sentiment, that probably 90% of people who get all stressed over temperatures have no reason to.