This does seems strange of you have everything configured properly.
Make sure that you are shutting down the system rather than putting it to sleep. ( I know this sounds silly, but in windows vista, the actual power off button put the system to sleep rather than shuttng it down).
If this is fine, then can you go bios by pressing F2 when the system starts and when you see the intel logo screen, then load the default settings and save the settings and exit.
If this does not work, then can you do the same procedure again but clear the cmos before doing it. (Clear cmos by removing the motherboard battery and put it back after 30 minutes).
Let me know if problem remains.
Assuming that you have the CPU fan connected to CPU Fan header on the board, and other system fans connected on the rear/front fan header.
I am suspecting that this is an issue with your power supply itself. Can you try another PSU ATX version 2.1 and see if it makes any differences.
To be honest, i had a similar problem when i was using an old PSU on an Intel Desktop board DQ965GF, changing the PSU seems to be the fix.
Apart from this, the steps that Unplugged told you above would have been my next steps to test as well.
Let us know how it goes.
Last weekend I updated the BIOS of my DP35DP motherboard to the latest version (0517) and got the same issue. When the system went into standby, the fans started spinning up. There was also no way I could get the system back on, except by a hard reset (pressing the power button 5 seconds). I then changed the BIOS back to version 0507, which seem to solve the problem.
So to me it seems like the latest BIOS version has some very weird behavior regarding standby.
I have been running BIOS update 0517 since March without problems. This update cured a problem of XP crashing after resuming from S3 sleep.
If you are running XP and using S3 sleep, you will need to use the USBBIOSx registry zap to keep your USB keyboard and mouse alive so they can wake the machine from sleep. I think the power button should do this also. My DP35DP sleeps like a baby in a low power state with all fans off.
As always, your power supply has to supply a certain amount of 5 volt standby power during S3 (suspend to RAM) sleep. I suppose most modern power supplies will do this. My Seasonic S12s do nicely.