Seems like there's two other reviews on Newegg saying they got dead-on-arrival boards as well, with the same symptoms as you.
I've had no problems at all with mine though, it's a fantastic board! So if you do return it, I'm sure the replacement will be fine.
As for further diagnostics, normally I would recommend reseating the graphics card and CPU, but considering they're soldered right into the board, that's
somewhat out of the question
With a keyboard plugged in, as soon as you press the power button, press and hold the Delete key and see if the BIOS loads up. If not, perhaps try unplugging everything that isn't necessary. Unplug the orange SATA data cables and unplug the SATA power cable right from the motherboard. Remove the RAM, etc.
Basically, leave nothing but the power cord and video cable (VGA or DVI, whatever one you're using now).
If you still get no video, I'd say the board is defective.