Ummmm... if your getting nothing spinning up (fans, ect), then don't bother RMAing the CPU. Its going to be your motherboard if its anything (and since you've confirmed the PSU works fine in other systems).
I guess I hate to ask a simple question too... but... Did you make sure that you had all pins (24 pins + 4 or + 8 for CPU) plugged in ALL of the way and seated? If all of that was done right you could power on the system with no ram, no cpu, and nothing else and still get fans/lights to come on. If yours is really 100% dead and no response from any sort of power on... then its the motherboard hands down as the CPU will not effect the rest of the system just receiving power.
Just out of curiosity, what motherboard is it?
"I think there is a world market for maybe five computers."
Thomas Watson, chairman of IBM, 1943
i5-2500K|Asus P67 Sabertooth|16GB Corsair 1600|MSI 7850 2GB|500gb 840 EVO|Corsair 400R|ET750w PSU|Corsair M95 / K90 / Vengeance 1300