I returned the MB to the dealer, an bought a new one from another dealer.
I got the exact same problem with the new MB.
At home I have a 24" dell monitor with vga/dvi and a TV with vga.
I then took the MB to my work and attached it to a projector. Then it works!
So you should try out on more monitors
I had the exact same problem with 3 different boards and I have tried a 6 different monitors without luck.
Just before returning for a refund I looked for an BIOS upgrade, and that worked! It is a bit tricky to install without a monitor but it is doable. Get the latest .BIO file from http://downloadcenter.intel.com/Detail_Desc.aspx?agr=Y&ProdId=3060&DwnldID=18517&lang=eng and burn it to a CD. Load the CD on the target and turn off the computer. Remove the BIOS configuration jumper and start the board again. After 5 minuters turn it off and replace the configuration jumper again. After this you (hopefully) got the new bios and output to the monitor. At least I did.
This is explained in the Release Notes accompanied with the BIOS.