It might be your video card. I've had the exact same problem with my 9800 GTX+, I put everything in, and the monitor wasn't showing anything. so I rechecked everything and found out I forgot to plug in the estra power cables for it.
Also what kubes said, it so happens that it's a mistake that happens to alot of people, plugging in the 24-pin power-conn but accidentally forgetting to plug in the 4/8 pin power-conn (well it's happened to me a couple of times, I get pretty hyped up and excited when I build my PC
)
Check that you have plugged in the 4/8 power-conn, if you have a more powerful video card check if you have properly plugged all the extra power cables, inspect the card to see if it's properly seated in its socket, or if you properly connected the VGA/DVI cable of the monitor to the video card. You might also wnat to check if you plugged in the monitor properly, maybe you haven't pushed the power cord connectors fully into the outlet, or into the monitor's AC socket.
(sorry if my english is bad I'm not english)