Different folks do things differently as you know. Some go further than I do...most go alot less. I use a bootable CD of MemTest86+ v4.20 .iso file burned to the disk with ImgBurn. Stress Test with IBT v2.5 in Windows and monitor temps. with Everest Ultimate.
 
Here are my personal proceedures which have worked well for me and are honed thru trial and error.
 
This is not an OC'ing Guide, there are plenty of them already out there. This is a "How to Test" your settings guide and can be used whether you are OC'ing or running at stock on any platform. 

Newly received RAM sticks are immediately tested individually with MemTest for a minimum of 8 hrs. at their rated spex to determine if they are good or not. Unlink the RAM from the CPU and manually set in the rated speed, timings and voltage. If errors occur...RMA. If each stick passes then, the pairs are tested together also for 8 hrs...if errors...RMA. I know it's quite time consuming but, you need to know right away if they are good or not due to return time limits...miss a deadline and then you could get stuck with them....not acceptable in my book.

Now, when I'm tuning to stock settings or working on an OC of the system with my known good sticks...after each BIOS settings adjustment...If it will even boot up properly at all (because if you're off it won't) then, I try to reboot to the BIOS 3-4 times in a row to make sure it'll do it...if settings are off it won't do it....readjust...try again. Get thru all that successfully then, I only run MemTest for 1 full pass. 4GB's (2x2) takes about 20-25 mins. 8GB's (4x2) takes about 55-60 mins. If RAM settings are off, it won't make it thru without error....usually by test #5...readjust and start again. PITA but, a necessary ordeal. It's better than getting all the way into Windows just to get a BSOD. Full pass completed error-free...now, it's time to try to go into Windows. If you get a BSOD at this point then, it is usually due to CPU voltages way to low.

Make it into Windows...time for IBT test. I find it best to run asap after into Windows...before RAM starts getting loaded up. I immediately start turning off unnecessary programs and disable anti-virus. First test is 5 passes at Standard Stress level. It has been my experience that if the voltage settings are set too low, it will BSOD pretty much immediately upon starting the test or very shortly after. If passes then, immediately run 20 passes at Max. If the voltage set too high...the test will fail during the first 2 passes due to heat. If you have already taken all proper system cooling measures (which you should have) then, you will have to lower your voltage. Successfully get thru 20 Max...I call it stable and enjoy the fruits of my labor. 

I always keep a printed copy of my successful BIOS Template settings. It's alot easier than trying to remember what they were when I want to apply them.
 
I hope this will be helpful to your computing experience.
 
Here are links to the aforementioned files:
MemTest: http://www.memtest.org/download/4.20/memtest86+-4.20.iso.zip
IBT: http://www.softpedia.com/progDownload/IntelBurnTest-Download-115298.html
Formerly known as Everest Ultimate (free to try for 30 days):  http://www.aida64.com/downloads/aida64extreme160exe
ImgBurn: http://imgburn.en.softonic.com/ 
 
  

Thank you very much, John and SB!! I appreciate the comments you made. I hope folks find this useful.

THANK YOU, XrayMan!!!

Thank you very much...Sir Tweaked!!! I appreciate your comment and BR!!

Thank you for your comments, tehrealgsus!! 
EDIT: Now that I think about it....I believe I covered that pretty good already....that's what IBT tests...if I go any deeper into that, it's going to end up turning into another OC'ing Guide and I don't want that to happen.