When I build a new PC I always run Memtest86 over a full night to verify that the memory and CPU works as it is supposed to do (you download the ISO and burn a CD that you boot it from):
http://www.memtest86.com/
Or you can of course use the built-in memtest in Windows 7 from the boot menu but I like the stand alone memtest better as you boot it from a CD so you don't even need to install the OS first.
After that I run Prime95 a full night to see that it's stable and not overheating under load in the OS...
http://www.mersenne.org/freesoft/
Combine with Core Temp while running Prime95 to watch the temps:
http://www.alcpu.com/CoreTemp/
After that I overclock and tinker with voltages etc...