Here are what I use:
to test RAM:
Memtest86
to analyze RAM & other parameters:
Right Mark Memory Analyzer
to monitor fans, voltages, temperatures:
ITE Smart Guardian
Also, monitoring:
CPU-Z
also great for monitoring: Everest Home Edition by Lavalys, but it was discontinued around Oct 2005. You might still find it on some download sites.
for 30 minute stree testing:
OCCT!
also for quick stress testing some guys like
SuperPI but I quit using that one about a year ago
for true 24-hour stress testing, tougher than OCCT!:
Prime95
for video card benchmarking (you can oc your gpu too):
3DMark06 Basic, and
3DMark®05 Free Version, and
3DMark®03 Free Version.
You may see references to Aquamark3d for video benchmarking because it used to be popular, bit it has recently gone away
Other tests: your hdd manufacturer probably provides a free downloadable hard drive test
Manufacturers of other stuff provide same, free downloadable tests, e.g. for printers, etc.
Watch those temperatures!!!