Want a second opinion? Different programs test CPUs in different ways. Hard-core types also hold IntelBurnTest and OCCT--two other CPU-stressing programs--in high regard. Both hit your processor hard and ramp temperatures up very rapidly, however, so keep a close eye on your system-monitoring software when you first start them up.
No matter which testing program you choose, run it for at least four hours; a full overnight run is preferable. Personally, I like to stress-test new PCs using Prime95's Blend and Small FFT tests for at least twelve hours apiece, and I sometimes follow it up with an hour-long, High or Very High stress level IntelBurnTest run. Overkill? Maybe. But if your CPU survives all that, it's definitely a keeper.
Ramp up your RAM
When it comes to seriously testing RAM, only one option is worth considering: MemTest86+. This tried-and-true diagnostic software has been around seemingly forever, and while it definitely looks its age--MemTest86+ rocks an ugly BIOS-esque interface--the program is just as effective now as it always has been.
Simply burn MemTest86+ to a flash drive or CD, insert it into your PC, and then boot your computer to the media type you're using. Once it's up and running, let the software do its thing for a long time--preferably overnight once again. The goal is to have ZERO errors. If you run into an error, you'll have to retest each RAM module individually to identify which is the problem child.
Verifying your video card's stability
If you're a gamer, stress testing your graphics card is a no-brainer, especially since graphics cards tend to fail under heavier loads--you know, like the ones generated by top-end games. Another bonus: Graphic torture tests usually coax underpowered or faulty power supplies into giving up the ghost, so you're stressing two birds with one stone. Yay efficiency!