Make sure the heatsink is on the CPU properly, and that there was thermal grease on there. Also make sure the CPU itself is seated and locked into the socket correctly, obviously.
Other things to check: the power switch cords etc from the case to the motherboard, GPU power pins, voltage rating on PSU (an idiot coworker of mine once complained that his new comp wasn't working, and it turned out he had his PSU on 240v mode hooked up to a 120v American power jack), connections between the CPU fan and the motherboard, not to mention case fans.
Other things to check: the power switch cords etc from the case to the motherboard, GPU power pins, voltage rating on PSU (an idiot coworker of mine once complained that his new comp wasn't working, and it turned out he had his PSU on 240v mode hooked up to a 120v American power jack), connections between the CPU fan and the motherboard, not to mention case fans.