take everything out of the case, except the CPU, PSU, vidcard, and ram. then try it. then try another video card, PCI would be best. if you get video from PCI then it's either the AGP or the video card. Test card in another machine.
if you can, use another mobo to test the proccessor, or take it to a shop. Also, you can get a PSU tester for a few bucks and use that to verify that the PSU is providing the power to all the spots. You could have a bad +/- 12 that would cause you some headaches...