Couple things to consider:
# Is your monitor turned on?
# Is your monitor on the correct input? Not all monitors automatically select an incoming signal.
# Are you using integrated video, or an add-on video card? Some motherboards require a first boot to be with the integrated video first to select a default video source in the BIOS.
# Is the CPU properly seated in its socket?
# If you didn't take proper precautions when installing the CPU, static might have damaged it.
# Check the CPU for damaged or bent pins.
# You could have damaged the CPU when installing the heatsink/fan assembly.
# Could be a defective motherboard or CPU.
# Are all the proper power supply connectors plugged into the right places on the motherboard?
Any of the above, in most motherboards, can give you a blank screen at power on. As @jayeff said, having the speaker to at least get audible post codes would certainly help.