For memory / CPU / timing:
MemTest86
MemTest86+ (
www.memtest.org)
Prime95 (
www.mersenne.org)
While the memtest86 programs are good, they often miss
out on diagnosing timing issues (where the PC checks out
fine, but then bluescreens when playing). Prime95 is an
old trade-secret, it's not even a burn-in/test program,
but the calculations that it performs are very
CPU/memory intensive. As a result (and since it self-
checks) it will often throw errors on hardware that
other diagnostic software gave a clean bill-of-health
to.