Ok, so. Long story short. I bought a 3850, it wouldn't fit, completely, in my case, so I had to remove back part caging from my case so the card could fit. After hooking everything up, as it is supposed to be, the card wouldn't power up at all. So, I RMA'd it for a new one, to see if my card was just screwed. I just got the new one a day or so ago. Tried everything and again, not booting up at all.
Just wanted to add in my PSU is 500W so, I don't think that's the problem. I also tried unplugging everything else I could from the PSU to see if it helped, and it didn't.
I'll be happy to give any other info I have on this problem, I just really want this damn thing to work.
I've also noticed that, not only does the card not work, but when it's in the AGP slot at all, PSU or no, I can't get any display. I assume that's because in BIOS I have it set to use any non-integrated GPU over the integrated one. But that's beside the point. Still no clue what's going on with it.
The 3850s suck up a bit of juice. Even though your PSU claims it's a 500W unit, it may simply be a cheap unit that doesn't supply enough power. How many amps does it have on it's 12v rail(s)? Also, those cards are very long for AGP slots. You have to make sure it's properly seated in the AGP slot. On my older system, even if my 1950GT AGP looks like it's seated properly, it could be slightly off making me reseat it and test it again. The 3850s are longer and heavier which make that even more likely.