If you want to do very thorough checking of your harddisks, a software tool like MaxBlast from Maxtor can help you. This software is somewhat limited (to certain IDE controllers etc).
Personally I prefer the Linux way of checking harddrives for errors. This relaly works awesome, but it takes a lot of times (more than 24 hours for checking a drive is quite normal) and it destroys all information on the harddrive. If you want to know how, let me know, but I figure you don't