I suppose borrowing a CPU is out of the question?

Or, taking your CPU to a friend and trying it in a known good board?
I had to troubleshoot a problem just like this about a month ago--except my board (Abit KR7A-133) doesn't beep at all when you remove absolutely everything from it--very confusing.
In my case, it ended up that I had a bent pin on the CPU, which I folded in half upon trying to insert it into the socket...
(I designed the installation method for my direct-die cooling system very poorly...)
It was said before--most boards should give you indicator beeps if they're at least partially functional, even if they have _absolutely_nothing_ installed in them. Then again, you may need a minimum of a good board and CPU to get beeps; I did.