RAM -
memtest
CPU -
Prime95, used as stress tester for overclocking but will show errors if there are any calculation errors from the CPU.
PSU - Multimeter and list of PSUs specifications to compare readings against.
GPU -
3DMark or other graphic benchmark. Generally if you can complete the benchmark your graphics card is running without errors, although you have to watch the benchmark tests too to see if there are any rendering/visual problems. You can use programs such as
MSI's Afterburner (available for both AMD/ATI and Nvidia graphics cards) to monitor temperatures of graphics processors, fan speeds and utilization percentage.