New threads related to unstable overclocks and defective hardware pop up on a regular occasion. It is often asked how to stress test some component. Below you'll find my top picks after weeks of testing - updated for 2020.

GPU
Unigine Heaven
FurMark / MSI Kombuster
*GPUs tend to clock down due to power and thermal limits when running FurMark*
*Lower resolutions put more stress on the VRMs*

Video RAM
Final Fantasy XV Benchmark
*Set to maximum quality and run in a loop*

Memory modules (configuration, timings and overclock)
MemTest64
HCI MemTest (one instance per thread)
*Best run from safe mode without a pagefile*
Linpack Xtreme

Memory modules (physical integrity)
MemTest86

Processor
Linpack Xtreme
Prime95 small FFTs

Integrated Memory Controller
Prime95 custom run of FFTs from 512K to 1024K with 90% of RAM
Linpack Xtreme

Northbridge, bus and PSU
Prime95 custom run of FFTs from 512K to 1024K with 80% of RAM + LuxMark or FurMark running in the background at 720p.

I use the intel program.  I mean they did make the cpu

Delirious
I use the intel program.  I mean they did make the cpu

Interesting, didn't realize Intel was still updating it. 
 
Buildzoid's current favorite is LinpackXtreme, so I use that for CPU testing. Since I use my GPU for folding I want 100% stability and only use tests that have built in artifact scanners, like OCCT.