You can get a PSU tester. Antec sells them, you can get them on newegg, ebay probably, etc. It basically loads the 20 or 24 pin and turns on the PSU so you can do measurements w/ a voltmeter. Great for diagnosing fluctuating voltages that a software monitor might not catch.
You could test w/ a voltmeter the molex connectors, etc. I'm not sure how you would test the 12V or 3.3 or the 5 going to the motherboard. Maybe someone else has a better idea.