I'll start off with the easy ones. On the back of the power supply were the power cord is there is a switch, is it on? Also, is the power supply set for the right voltage for where you live? And finally, it is plugged in right, both to the outlet and to the motherboard?
I know they're silly questions but sometimes in the rush of building you may forget even the easiest things.
But when you hit the power button on the case nothing happens? Another easy question then, are you sure all of the front panel switches are connected correctly (ie, the power switch, the reset swich, hd indicator, etc)? I only ask this because they give me trouble almost everytime I build a computer just because they're so damn small I inadvertantly get things wrong by one pin.