Everything, and don't rule out the PSU.
Take the motherboard out of the case, lay it on a bit of card, have the CPU in, a heatsink on it and 1 stick of memory in. Power up (most newer boards these days have a switch ON the motherboard) and see if you can get it to post or show some signs of life from the motherboard.
If that works, add another stick of memory, rinse and repeat, gradually add each component powering on inbetween.