Yeah, I tried it out, there was only the CPU, RAM(tried once with, the other without), power supply, heatsink, and power switch connected to the motherboard, but there was no success...
With the above in consideration, my vote goes to the motherboard as well, assuming all of the following are true:
1) Same monitor, different computer = working monitor.
2) Different monitor on this new computer = no picture.
3) No video card, only onboard video during conditions #1 and #2 above = no picture.
4) Same video card in different computer = working video card and monitor.
5) Different video card in this new computer, repeat conditions #1 and #2 = no picture.
6) Different power supply in this new computer, repeat conditions #1-#5.
It can't be anything else at that point. Time for an RMA.