+1 for speedfan and Prime95, though there's one thing you'll want to know about p95. After you install it, make a copy of your folder and put it somewhere else. When it's time to do stress tests, you open one of them up from the start menu, and the other from the folder, and put the affinity of them to 0 and 1, so that you get maximum... thing...
One thing I really love using which helps me overclock without restarting every little while, is a program called clockgen. It allowes you to change your clock speed without going into the bios.
By no means would you use this tool to do permanent overclocks, but you have that open and it'll tell you your clock speed for your ram/cpu/fsb, so you have that open, as well as dual prime and speedfan, and then you've got everything going. Every few minutes bring up your fsb a MHz, and then when Prime gets an error, bring it back a few MHz, and let it sit for an hour. Then restart and put those numbers in the bios and run Prime for 8 to 48 hours (I normally do it for about 12, overnight and a little bit more).
If you're doing Graphics card overclocking, then getting ATITool, regardless of if you have an ATI or NVidia card is a good thing to get, because even if you have an NVidia card, the "Scan for Artifacts" tool puts more stress on the graphics card than any other tool or game out there can.
If you have an Nvidia card, then you should get Riva Tuner (and you should probably read a bit about how to use it before you use it, because it's kinda hard to get started, took me a few weeks before I found where the overclocking section was, other than going through the reg). If you have an ATI card, then ATITool is all you need.
Getting 3DMark 06 is a good idea as well, as you can check the before and after scores, as well as scores with comparable systems to see if you've done something wrong (though I don't like how ORB doesn't sort through crossfire/SLI and non SLI/Crossfire). Some people like to use their 3dmark scores as an E-nis, but it only gives reference as to what real world preformance is compared to other systems.
One last thing is to get Memtest X86, get the ISO version and burn it onto CD, it is the handiest little tool out there. Whenever you overclock and you want to know if your ram is being pushed too hard (possibly after you've done most of your overclocking and am just finishing up by setting timings and stuff in the bios), then you just pop this disk in and wait an hour or less, it doesn't normally take long for it to find errors if there are any.
That's all I can think of right now, I might come back with more later on.