-Run Memtest for a while to check your RAMs decent.
-Partition Hard drive (separate partition for games/OS is recommended unless running a multiple hard drive setup.
-Download stability programs - you can check for instability now if you want.
-Check temps to see if you seated HSF properly
-Check all manufacturers details - especially on RAM, what voltage / timings have they used (p.s. your bios will set to AUTO so you may wish to change that)
-Gently increase FSB until shows instability(prime) then up vcore decide on an overclock that suites you, throughly check stability.
-Benchmark your system , play some games or whatever you want.
Short version of what I would do:
Leave disconnected from internet.
Load Windows. Load hardware drivers, mobo (including sound and LAN), then GPU, then DVD drive (e.g. the decoder that came with the Retail drive you selected), KB, mouse, and, if present, printer(s) and UPS. If you have it on media already, load your anti-virus program. If you won't be behind a router, turn on the Windows firewall, then connect to the Internet. If you didn't already have an anti-virus program, download a free one (e.g. from www.grisoft.com/free, or from your ISP; Comcast provided McAfee). Connect to Windows Update. A nap, a beer, and/or a snack are all options while Windows gets current. You may need to update your AV program too.
If desired, take some baseline benchmarks.
Load applications and/or games as desired (Guild Wars is recommended ). Transfer settings and other desired files from your old PC, if relevant. Tweak Windows settings, if you haven't already as you've gone along.
Thanks for the replies. I'm good with all the normal steps one takes when it comes to doing a clean install, including drivers, software, AV, etc. Done it many times before. The only thing I'm really asking here is what to do to test or "burn-in" the new hardware, which I have never done. Sounds like I need to find "memtest". I already have Everest. Are there other testing or stress-testing programs you recommend?
The way I've been testing brand new systems is running a Linux live CD, generally Ubuntu, for about an hour before I install Windows. For me, it's the easiest way to see if everything is running with no problems. Also, while running off CD, I can download anything I need to before installing Windows. Once Windows is up and running, I run Prime95 overnight just to burn in the system.