Sorry to revive an old thread, but I'm having the exact same problem.
Also with a Gigabyte board, and only when I use IGP. If I put in a graphics card, it boots up fine, but when I use IGP, just like "folvic's" problem, it makes it just to the Windows boot screen before the whole system just shuts down on its own (RAM lights go out & all the fans stop). It then reboots itself and tries again, but it just continues the cycle - Boot screen - Crash - Boot screen - Crash...
I too thought it might be the IGP on the CPU, so I swapped CPUs (an i5-2405s with an i5-2400) ... same problem!
I just remembered, I have an Asus board lying around.
Will try that, and see if it makes a difference. If it works on the Asus board, it means there's a serious problem with Gigabyte boards & IGP.
Will report back after I've checked.