What's Defective?

I recently bought a new PC and built it myself, but I have one problem: sometimes I experience graphical corruption on the Boot screen that makes Windows bomb out with a BSoD upon going past the Windows loading screen (namely when it switches to the desktop/welcome screen).

It doesn't happen predictably, but when it does I have to restart my PC several times to make it work properly. If Windows boots, it experiences no problems at all, even under extremely heavy loads (like playing the latest Ghost Recon game).

I'll get to testing my RAM with memtest86, but I'd like a way to fully test my videocard and it's RAM and my CPU for any potential defects.

Jam it back in, in the dark.