Most people use any of the following:
Prime 95 - Stress test, use to verify stability of the system, stress for 24 hours recommended.
CoreTemp - useful program, shows temps on all cores. Useful to help calibrate SpeedFan.
SpeedFan - VERY useful tool if you configure it correctly. Shows all system temperatures, voltages, fan speeds w/software fan control, and a plethora of other system information.
Orthos - never used it personally, but it's just a different stress test, some swear by it over Prime95, up to you.
CPU-z - CPUID program, shows all information regarding your CPU configuration. Clock speed, voltages, multipliers, and other various useful info.
Everest Ultimate - Only one in the list that will cost you money, but nice to have. Of course, you can get it by other means, but support your software developers!! This is a benchmarking/system information/stress test/monitoring suite. It's a one stop shop.
That's a list to look thru. SpeedFan is a PITA to get accurate, but if you can, it's probably one of the more robust tools in the list. Read up on CompuTronix Temperature guide.
http://www.tomshardware.com/forum/221745-29-core-quad-temperature-guide
It's very straightforward and will get your monitoring suite dialed in for accuracy if you plan to overclock.
I personally use CPU-z, Prime 95, and Everest Ultimate. Vista doesn't like Core Temp unless you disable driver signing and SpeedFan doesn't like the x38 chipset yet I think. I'll try it again on the next release.