Depends on the parts. I don't know what you have in your system but most CPUs can handle temperatures a good bit above 40 degrees Celsius. GPUs as well. I can't really answer about the North Bridge and South Bridge, though I suspect that the max temperature depends on the board.
CPU temperatures are kind of tricky since, to some degree, you need to take into account the core temperatures. There is a good sticky article by Computronix about temperatures for Core 2 and Core i7 temperatures that I would suggest you check out.
I'd love to give you a simple answer but it's a bit complicated.
I have no idea what the core temperatures idle at since the sensors seem to stick at sub-50 degree temperatures. This is apparently a common problem on 45nm Quad Cores. My CPU temperature (the one you see in the BIOS) idles around 17 or 18 degrees Celsius. This is also a problem since my ambient temperature is more like 19 or 20 degrees. So clearly that sensor reports my temperatures that are a bit too low.
If I had to guesstimate, the CPU idles around 25 degrees Celsius. At full load the CPU temp gets up to around 32-34 degrees, which is probably more realistically around roughly 40 degrees. The core temperatures get into the fifties (53-58) under full load.
Now, after a decent amount of research, I've learned that the core temperatures and the overall CPU temperature are supposed to be much closer. Computronix suggests a 5 degree difference under load with the cores running hotter. But my temperature sensors seem to be pretty inaccurate so I can't really trust them all that much.
If your overall CPU temperature is getting in the sixties, be careful. Depending on your chip, the max temp is in the low to mid seventies. The core temperatures are tougher to give advice about. I don't like heat and I'd rather be overly cautious than not. My temperatures in the fifties seem okay to me for a processor under full load. I doubt that I will go too much higher, especially since I don't trust my thermal sensors.
The processor itself has some safety features to prevent it from heating up too much, but I always figure it's best to avoid those if possible.
One last thing about the load temperatures: there are few programs that will keep your CPU under a full load for any length of time so more than likely I will never see temperatures like that outside of a test designed to produce those kind of temperatures.
I hope this was at least slightly helpful.
And if you are really worried about your temperatures, most motherboards give processors higher than necessary voltages at stock speeds. You can probably shave off some of that excess voltage and drop your temperatures by up to 10 or so degrees. For example, my motherboard was pumping 1.225 volts into my processor and I found out that it only needed 1.0 volts at stock speeds. Even with a 35% overclock I don't need 1.225 volts.