For HARD DRIVES..... I use the manufacturer's diagnostic tools. This week alone, I have used them about 5 times, to verify the condition of used hard drives. ( you also have to use these for the RMA process to get error codes ) I keep all the current versionos of IBM, MAXTOR, WD, and seagage real handy. (screw fujitsu
For BURN-IN on EVERY system I build, I use a simple tool from
( I even paid them for it !, it works so well), but they have a shareware version.
It's the BIT - or Burn In Test software. $20.
* I know this doesn't strictly fall into the category of your question, however, it does help diagnose problems, with RAM, and especially VIDEO drive problems.
Memory testing tools....... oh, there are many. DOS tools, Windows tools,,,,,,,,,, etc. I would use Google to search, and see what you can find from INDEPENDENT PROFESSIONALS........ and not from the websites themselves.