Run Prime95’s Blend Test for at least one hour and use one of the following programs to monitor your temps; Real Temp, SpeedFan or Core Temp. This will help determine if you system is running too hot and is unstable.
Run 3DMark’s Vantage or 3DMark06 to benchmark your system to see how your new build compares to similar systems.
Option: Run MemTest86+ for seven passes to check your memory for any possible errors. This isn't required unless you think there might be an issue with your memory.
Download links for the above programs
CPUID's Hardware Monitor
Real Temp - CPU Temperature Monitoring
Futuremark's 3DMark Vantage (Vista / Win7) or 3DMark06 (XP)