Remember, using software to test hardware (that the testing software is running on!) is not unlike walking up to a Nut in an asylum and asking him if he's ok.
If he says he's insane you can believe him. If he says he's ok, mmm....
That said, memtest and Windows memory diagnostics (both free) are great for testing memory.
Prime95 will give your CPU (arithmetic units especially) a good workout.
A full surface scan is usually good enough for drives.
Graphics benchmarks are good for video (might help monitor too).
You can also google for testing suites and "burn in" software.