Quick note on this;
I am _not_ a noob to pc's by any stretch and I just had a similar problem. Everything was plugged in properly, all connections tight, etc. I even had a couple of our engineers check it just in case I did something wrong. Found out I had plugged the _wrong_ 4 pin power connector into the mobo. I plugged in the one that is supposed to go to the video card. Hooked it up right and it came right on.
One clue for me was that when I initially turned on the power switch and then hit the power, all the fans in the system jerked and stopped. had to remove the power cord and hit the power button to see it happen again. I removed both 4 pin power plugs and the system powered right up.