Everything seems to be working fine: case fan and the Zalman fan started up, the indicator lights on the front panel all did their thing (power light solid, HD and DVD lights flickered, etc). The video card fan is also running, so it's getting power, etc.
"Seems" is the operative word.
I agree with pcstudent - I'm leaning towards a bad PSU (and, yes, PSUs can be bad right out of the box). Fans, small LED lights...these things are easily powered; but the heavy lifting requires a dependable PSU.
Another thing to check for when everything "seems" to be working fine: let the computer run and listen for the welcoming sound when your computer finally boots into Windows. If you don't hear anything, it means your computer isn't booting up - another indicator the PSU is bad.
One last thought, try the new nVidia 610 in a different computer - if it works, then you can rule that out and it should be pretty quick to check.
Hope this helps.