Mind you, there are two ways to do this: you can do it either in or out of the case. The advantages and drawbacks:in the case is easier and faster, but will not find case-related problems, like shorts from extra, mispositioned standoffs, or ground plane problems; out of the case takes longer, and you may run into 'reach' problems - power supply cables and front panel power switch headers may not be long enough; for the power supply, it's usually just a matter of removing four screws to temorarily relocate it; for the power switch, you can just do this (carefully):
You only need to short the pins momentarily - that's all the power switch does...Out of the case also affords you an easy opportunity to 'flip' the board to check your heatsink/fan attachment setup, to be sure all the pins are fully seated, locked, and not cracked... If you do the out of the case, you need to lay the board on a non-conductive surface: the box the MOBO came in is ideal; but - the foam pad it came with, and the bag it was in are not - being 'antistat', they are somewhat conductive, and may induce problems...
Another item worth mention at this point is case speakers: if you haven't got one - get one! http://www.cwc-group.com/casp.html
A lot of people operate under the misaprehension that the 'diagnostic beeps' should come through the speakers attached to their sound-card/chip - not so! Your three hundred dollar Altec-Lansings won't do you any good here - you have to have a case speaker attached to the front panel header, and, often by this point, it's the only diagnostic info you'll have to go on...
The standard 'strip-down':
Power down at PSU switch
CPU and heatsink/fan (check carefully that the fan retaining pins are fully inserted, completely locked, and not cracked)
one stick of RAM, in slot closest to CPU
video card and monitor connector (if more than one PCIe slot, again, in slot closest to CPU)
all power plugs - 20+4 or 24, 2x2 or 2x4 ATX power, graphics card power
case speaker and power switch connectors
keyboard (don't need a mouse at this point)
place jumper on RST_CMOS pins
remove jumper from RST_CMOS pins
power up at PSU switch
power up by depressing case power switch (or shorting the 'power' pins...)
If you get video, enter BIOS with <DEL> (may need a <TAB> to get to POST screen, if 'splash' screen is enabled)
Select and execute "Load Optimized Defaults" - save and exit, reboot
reinsert other components, one at a time, testing each time after addition...