Well, when you first turn it on, head to the BIOS to make sure it isn't nuking itself and look at the temperatures. If everything is under 50C you are good to go.
After you get Windows on there, fire up Core Temp, or Hardware Monitor, or Speed Fan and look at the general temperatures of everything. If nothing is out of order, you can try your favorite game or application.
If you want to stress test, programs like Prime95, heck even the Windows Experience evaluation are good starters. AIDA64 for a more comprehensive CPU/GPU test, Maybe Furmark for video cards if you are feeling lucky. (I find that a lot of reference coolers are quickly saturated doing furmark)
Then if you are into overclocking, start bumping up the settings until it becomes unstable, or when you fear it will start melting.