There is no all-in-one tool. And besides, if something does everything then it is good for nothing.
CPU:
Any CPU burn-in test. The computer will crash if there is a problem. No more advanced CPU testing is possible. How can you test a CPU when you are supposed to run the testing utility on the very same CPU at the same time?
RAM:
MemTest86 or MemTest86+
HD:
Every HD manufacturer supplies a diagnostic tool for their HDs. Most of them can also be used to test the HDs of other manufacturers to some extent.
Motherboard:
Nothing to test those reliably. A mobo is a very proprietary product and noone is interested in making them software-testable anyway. Basically, if everything else checks OK then it is the motherboard's fault.