http://www.mwave.com/

They'll do it if you buy both CPU and mobo from them. Depending on what you buy they may or may not charge - the guy that told me about it said $9.99, but the random combo I checked had free assembly/testing available.

Pricing looks good there in general...I'd still check a given item against Newegg & ZipZoomFly (at least) to verify this and to keep an eye out for specials that might make it worth splitting the order.