ATX power supplies are switching types with some basic requirements that need to be met before they operate reliably.
One of those requirements is that SOME form of load must exist on each output for proper voltage regulation to occur. Usually the 5V line is the most important source to have a constant load on. This is usually done with a BIG power resistor of low value.
If not there, you can get oscillations in voltage or it won't stay "on" and that won't be much fun for your projects.
Here are some examples:
http://www.instructables.com/id/ATX-->-Lab-Bench-Power-Supply-Conversion/