Not likely the CPU. Even a non-POSTing motherboard will behave differently with a CPU installed than not. It really could be anything - bad motherboard, bad RAM, bad power supply.
Remove all non-essential components (hard drives, video card, other accessories). Try with one stick of RAM at a time. Do you have a spare power supply you can try?
If that fails, try assembling it outside of the case, to make sure you don't have any electrical shorts (e.g. motherboard contacting a metal stand-off where it shouldnt' be).