What happens if I use a 140 watt cpu with a 125 watt max motherboard?

instability under full load if it just cuts power, or in the worst case it'll fry the transistors on the power circuitry on the mobo... It might work just fine if they used beefier components with decent safety margins and proper overcurrent protection, but I wouldn't risk it.

just kidding, but it would likely damage the board and definitely void the warranty.

I'd just generally be a bit skeptical as to why a barebones company is bundling what most would say is incompatible/not ideal parts. I'd keep looking. I don't think many really would know what would happen because they probably generally avoided doing this at most costs.

Putting a 125w cpu in a 125w board and then raising the voltage to 1.45v and Ocing to 3.7ish ghz would easily push the cpu beyond the 125w rating, but people do this regularly with no issues. I wouldnt worry about it. I have a 955be at 1.525v and 4.1ghz on water in a 125w board with no issues what so ever. Granted it is a quality board from gigabyte so that may have some impact.

That's a good point about overclocking pushing it past the "maximum" stated wattage. Totally overlooked that.

but does the 125W cpu actually use 125W at stock? tdp value is only a design envelope afterall...

Personally I'd invest in a more robust mobo - after all, if the mobo goes, it can take the CPU and maybe graphics card & memory with it.

Otherwise you could expect a lot of smoke & mirrors.

Without the mirrors.  

Some have had this situation and just get a bios warning at startup, unsupported cpu press F1 to continue. Others have had the unpleasant experience of the bios not continuing on at all. Unsupported cpu *bios won't boot.
The TDP's are at stock, any o/c quickly rises it.

Since you haven't already bought the equipment, why not just avoid this all together and go a different (i.e. safer) route?

+1