I'm quite pleased with the 8600. I really can't find fault in it. Sure some nitpick (and some days are worse for me with it than others) but overall, it's a computer and I find it completely adequate.
D800 -- it's more oriented for certain users. As far as I'm concerned, it's just a more expensive version of the 8600, but having said that, its chassis is stronger (and as mnguyen said, the color scheme is better), and it offers a few features the 8600 doesn't. Given a choice, I'd still go with the 8600. Throw in the M60, however, and that's a different story.
Heating up -- it's the video cards that tend to run warmer, nothing else. Keyboards -- dunno. I believe the keyboard itself is the same in both models; it's the construction underneath that makes the D800/M60 a bit sturdier.
If you purchased an 8600, rest assured it's a great computer.