Yeah I would just do my standard component test if I were you, which is mainly based on ease of application:
1. First try some different RAM, if you have any compatible stuff. If you don't then maybe you could borrow some from a friend.
2. If RAM tests yield no results, then that's not causing the problem. So I would test CPU/MOBO next. Borrow from a friend another compatible CPU and do a switch: put your CPU in their MOBO, put their CPU in your MOBO, and you'd be able to figure out exactly what the problem is right away.
Obviously this test depends on your friends or acquantences having compatible parts. If you don't have a way to attain some test parts, then I would go with what POLIST8 said and just RMA the CPU, MOBO, and RAM. Out of curiousity, what CPU and MOBO are you using exactly? I may want to avoid them in my future purchases