HD tune (
seatools for a seagate drive) will check your HDD
Memtest will check your RAM
HP has some
decent diagnostic test stuff but never tried them on a non HP rig.
UBCD has a few utilities built in, including memtest and HDTune (or a similar program)
Passmark still might give you some indication if something is seriously wrong. I know they have a lot of benchmarks for common systems, so depending on your setup it might be useful.