Many people still use Prime95 to stress test their new setups. Memtest86 + is another oldie, but still good for testing memory. There are other programs out now for testing both these components, and I'm sure you'll get more input from those who use them.
If you have an Intel processor, you can use Real Temp to monitor temperatures: http://www.techpowerup.com/realtemp/
I believe SpeedFan works for both types: http://www.almico.com/speedfan.php
Your question should go in the Hardware forum, so I'm moving it there.