The usual symptoms are troubles POSTing, difficulty booting, unexplainable crashing of programs, freezing in Win9x. My favorite memory testing program is
MEMtest86. It will take between 30 minutes to 60 minutes per cycle of all tests, so leave it testing for about two hours and if there is a single error reported, toss that stick (or get an RMA/refund if you recently bought it).
edit- and to tell if it's the socket at fault, try a different stick in that slot or put that stick into another memory slot.