Go look at Step 10 of the Step-by-Step Guide to Building a PC
sticky. There are a lot of links to free testing and benchmarking software.
The most important one is Prime95 and RealTemp. This will measure how hot the CPU runs.
You should also check that the RAM voltages, speed and timings are set to the manufacturer's specs in BIOS. This is the number one cause of problems and can be avoided very easily.