The obvious one: make sure that both ATX power connectors are in securely (the 20-pin connector everyone loves and the 4-pin 12V connector next to the CPU).
I agree with Ramon and check the CPU fan connection (make sure it's in the plug right next to the leftmost RAM slot's upper clip).
Check the underside of the motherboard for any metal that could be shorting the board to the chassis (like an extra riser or something). This will ground the board and shut it off almost instantly.
What do you mean by the PSU
seems to be fine? Did you test it, or plug in another one? Just b/c it is may be new doesn't guarantee that is works
Finally, make sure ALL external ports hooked up to the board are grounded (USB, SD, Firewire breakouts, etc.). Those "extra" ground wires are about as necessary as the power switch on the front of the case
don't disconnect them as they will generally cause ports to malfunction in the future if not immediately (ungrounded electronics are ALWAYS a bad idea

).
Well, try those on for size and see if any of them fit