All necessary power cables connected to graphics card? Sometimes it's a 6-pin (or two) and sometimes it's an 8-pin (or two.)
Do you
have a graphics card?
All joking aside, how well do you know the rest of your system? If you're confused with the standard 20+4 and 4+4 connectors, how confident are you that you've connected everything else correctly? Things that spring to mind are correct seating of CPU, connection of heatsink/fan - many, many potential pitfalls.
I hope this doesn't sound condescending - it's certainly not intended to be.