Check all your connections to make sure they are securely attached. Did you use the standoffs between case and motherboard? Whats the make and model of power supply? Did you connect the case wires to the motherboard correctly? Also might help to know the specific parts you have so we know if everything is compatible.
A lot of times you'll see this behavior if you forget the 4/8 pin CPU connection and/or the 6 pin GPU connection.
If you connected a speaker to the headers of the MB sometimes it will give you a beep code if a specific part is not operating such as RAM, although you'll generally get no indication if it's a CPU or power issue.