Unfortunately, without a spare CPU or spare motherboard, it's impossible to say which component it is that doesn't work. If you got your parts locally you can probably take the CPU back.
I agree that CPU's usually don't go bang very easily. I have read that LGA (or as you put it, "their messed up cooling mounting designs") is more sensitive than the pins design, but with the 10 or so processors I've used that use LGA, I've only had one insance of a single processor not working (in a quad socket motherboard). [When I worked at AMD, I had in my possession, for a short while, 8 dual core Opteron 8000-series processors (IIRC, the second fastest model at the time), at that time with a retailer price of something like $2000+ each - but I was given them to install at a third party site that we were working with].
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Mats
