For a new build I usually just check the load temps, prime95 to heat the CPU and furmark to heat the GPU, to make sure the cooling is working properly. They usually reach max load temp in a few minutes.
If the CPU is less than 60 or so and the GPU is less than 90 or so (that's what my 6970 does under load with the crappy reference cooler, but it's never crashed in 2 years running) then it's gaming time. If games aren't crashing then it's all good.
I go a bit overkill on testing when finalizing an overclock. With Memtest86+, I do anywhere from 24-72 hours. Linpack, 24-36 hours, sometimes closing up my computer room to get it really toasty . So far, my machines have been working great. -- KI6RIT