I know this question has been asked countless times before but a fresh pair of eyes can only do good.
I used to be into heavy PC gaming some years ago but lost interest. Only recently I started to get the urge again and so I purchased new parts to make a new computer.
The parts I bought were:
Corsair XMS3 4GB (2x2GB) DDR3 PC3-10600C9 1333Mhz Dual Channel Kit
Samsung HD502HJ F3 500GB 3.5" SATA II Hard Drive
Gigabyte GA-P55-US3L Intel H55 (Socket 1156) DDR3 PCI-Express Motherboard
Corsair CWCH50-1 Corsair Water-Cooling™ High performance CPU Cooler
Cheap Case with a non-branded 700W PSU
Samsung SH-S223C 22x Internal DVD±R/RW SATA Drive
Palit GeForce GTX 460 768MB GDDR5 PCI-Express Graphics Card
Intel Core i5 760 2.8GHz (Lynnfield) (Socket LGA1156) Processor
Got the system built with no issues and installed windows etc..
Installed Company of Heroes, played a game and thought oh yeah! Sweet..! But then it crashed back to desktop. Switched the machine off as had other things to do. Went back after abit started it up but now I do not get any video.
The system boots up no problems as I get normal POST and even hear windows tune after awhile. Removed graphics card and started back up, got correct POST error beeps and so not a motherboard problem.
Thinking its a dud card but any thoughts are welcome.
Sounds like you effectively isolated it to the 460 Graphics Card. I suggest RMAing it and see what happens.
It also could be your unbranded PSU though. Either it has dirty power, or it may have spiked the Graphics Card across the 12v rail frying it.
It appears you have alot of quality components, I'm at a loss for why you went excessively cheap on the case and PSU(Those being the components that are most likely to transition builds, ie future proof)
Either way, I'd RMA the GPU, and if you have extra money get a solid PSU. The XFX PSUs are top of the line, and the OCZ ModXstream PSU's while 2nd tier of quality, are certainly better than an unbranded 700W, and not too expensive.