It sounds like it might be a bad board. Breadboard it outside the case on a soft non-conductive surface. Install just the CPU, cooler, memory, PSU (24 pin and 4/8 pin), monitor to on-board. Short the 2 pins for a sec. that the pwr sw. would connect to to start the system.* (Same 2 pins for several seconds to shut down) The sys should come on and you should see the boot screen.
If you can't get a display, you probably need to RMA the board. CPUs are far less likely to be bad than boards.
* You could also use the cable from your case's pwr button if you can get the board close enough, if you don't like shorting the pins.