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Added NOTE: about errors at the end of the Prime95 Setup section.

Prime95 Stress Test - free from here:  http://www.mersenne.org/freesoft/

I suggest using a temperature monitoring program.  I picked this free one because it was the first one I found that also shows GPU temps:  http://www.cpuid.com/softwares/hwmonitor.html
I also suggest this one:  http://www.hwinfo.com

Prime95 Setup:
- extract the contents of the zip file to a location of your choice
- double click on the executable file
- select "Just stress testing"
- select the "Blend" test.  If you've already run MemTest overnight you may want to run the "Small FFTs" test instead.
- "Number of torture test threads to run" should equal the number of CPU's times 2 (if you're using hyperthreading).
The easiest way to figure this out is to go to Task Manager...Performance tab - and see the number of boxes under CPU Usage History
Then run the test for 6 to 24 hours - or until you get errors (whichever comes first).
The Test selection box and the stress.txt file describes what components that the program stresses.
NOTE:  Errors should be considered when:
- the system BSOD's during Prime95
- the system freezes during Prime95 (this is different than the extreme slowness caused by the program using all your RAM and CPU)
- the Prime95 program crashes
- the Prime95 program shows errors in it's display
- there are errors in the Prime95 results file

Advanced testing with Prime95 (I didn't recheck this when I posted it - use with caution):
[QUOTE][b][u]DRAFT[/u][/b] Prime95 advanced testing procedure
This is in case you are getting errors in Prime95 and want to nail down the cause

Run HDD diag and MemTest prior to Prime95

Run Blend test - log the time that it took to error (or not, as the case may be)
Run Inplace Large FFT's test - log the time that it took to error (or not, as the case may be)
Run Small FFT's test - log the time that it took to error (or not, as the case may be)

Run CPU Stress Tests
- http://downloadcenter.intel.com/Detail_Desc.aspx?agr=Y&DwnldID=19182&lang=eng
- http://7byte.com/index.php?page=hotcpu
- http://www.7byte.com/index.php?page=burnin64
- http://www.overclock.net/general-processor-discussions/657486-cpu-stress-test.html
- http://www.fossiltoys.com/cpuload.html
- http://www.pcworld.com/downloads/file/fid,7146-order,1-page,1-c,alldownloads/description.html
- http://www.overclock.net/general-processor-discussions/657486-cpu-stress-test.html
- http://majorgeeks.com/CPU_Stability_Test_d215.html
- http://www.xtremesystems.org/forums/showthread.php?t=201670

Run Video Stress Tests
- http://www.ozone3d.net/benchmarks/fur/
- http://nvworld.ru/utilities/vmt/
- http://nvworld.ru/utilities/alocator/

Swap RAM sticks around per Steps 7 through 10 of this link and run Prime95 (in Blend mode) on each stick/slot:  http://www.carrona.org/memdiag.html
This is because of issues found in this topic:  http://www.sevenforums.com/crashes-debugging/124155-blue-screens-again-2.html#post1076674
************************
[b][u]DISCUSSION:[/u][/b]
Small FFT's test CPU cache and very little memory.
Large FFT's access' a lot of memory - but in-place option keeps it limited
Blend is not run in-place, so it cycles the tests through a lot of RAM

All tests stress the CPU
In-place large FFT's and Blend also test CPU/RAM interface (mobo in all but Athlon64 and Intel i-series)
- This would then be testing the memory controller onboard the CPU in the Athlon64 and i-series processors
In-place large FFT's stress CPU more than Blend
MemTest is better at testing RAM

Prime 95 tests 3 things:
- Memory
- CPU/RAM interface (mobo in all but Athlon64 and Intel i-series)
- CPU

FWIW - the distinction between RAM and different types of memory in the system is one that I've made. The documentation that I've read speaks of RAM issues and CPU cache - and doesn't mention the other aspects. BUT, this is just speculation on my part, so we'll have to see how it works for us.
Link to explanation about i-series CPU/RAM interface:  http://en.wikipedia.org/wiki/Intel_Core#Nehalem_microarchitecture_based
[quote]Common features of all Nehalem based processors include an integrated DDR3 memory controller as well as QuickPath Interconnect or PCI Express and Direct Media Interface on the processor replacing the aging quad-pumped Front Side Bus used in all earlier Core processors. [/quote]
[/QUOTE]

My Guesswork chart:
BlendLarge FFT'sSmall FFT's
RAMFASTESTSLOWEST
Memory ControllerFASTEST?SLOWEST
CPU CacheSLOWESTFASTEST

*********************************************************************
02 April 2012:

Prime 95 stresses(wikipedia):
- CPU
  - cache
  - FPU unit
- memory controller
  - on CPU (Athlon 64 or Intel Core i7)
  - on mobo
- RAM
PSU
Cooling (anything can overheat - CPU/memory controller/RAM/PSU/etc)

CPU error
- Small FFT's fastest to error (?Large FFT's)
- Selecting Custom test: selecting 8-8 kB as the FFT size, the program stresses primarily the CPU.

Memory controller error (Athlon 64 or Intel Core i7 for on-die memory controllers)
- Large FFT's fastest to error

RAM error
- Blend fastest to error
- Selecting Custom test: By selecting 2048-4096 kB and unchecking the "Run FFTs in-place" checkbox, providing the maximum amount of RAM free in the system, the program tests the memory and the chipset (http://en.wikipedia.org/wiki/Chipset - I question if they're referring to the Northbridge/memory controller here)
(check hard drive light to see if it's accessing pagefile - if so, memory is set too high)

Small and In-place modes primarily test the FPU and the caches of the CPU (wikipedia)
Blend mode tests everything, including the memory
Selecting Custom test:
- selecting 8-8 kB as the FFT size, the program stresses primarily the CPU.
- By selecting 2048-4096 kB and unchecking the "Run FFTs in-place" checkbox, providing the maximum amount of RAM free in the system, the program tests the memory and the chipset (http://en.wikipedia.org/wiki/Chipset - I question if they're referring to the Northbridge/memory controller here)
(check hard drive light to see if it's accessing pagefile - if so, memory is set too high)

To verify, run OCCT tests (free from here:  http://www.ocbase.com/index.php/download  Support:  http://www.ocbase.com/index.php/support )
CPU:OCCT - like Prime95 (small=CPU; large=CPU/RAM/chipset)
CPU:LINPACK - MAX heat
GPU:3D - heat-generation test and error checking
POWER SUPPLY - a combination of a GPU:3D on the GPU and Linpack on the CPU is the best.