Some helpful tools that will help users pinpoint the cause of their troubles can be found here.

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Memory Testing Programs
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MemTest MemTest: RAM reliability tester for Windows
For you new people and rest of you guys that wonder what memtest is, well its a RAM reliability tester. It evaluates the ability of your computers memory to store and retrieve data. A correctly functioning computer should be able to do both these tasks with 100% accuracy day in and day out. A computer that fails these tests, perhaps because of old hardware, damaged hardware, or poorly configured hardware, will be less stable and crash more often. By running MemTest, you can ensure that your computers RAM is correctly functioning. Unlike other memory checking software, MemTest is designed to find all types of memory errors including intermittent problems. Therefore, it needs to be run for several hours to truly evaluate your RAM. MemTest works with any type of memory.

Prime95 Free Software - GIMPS
Prime95, is on a quest to find large prime numbers. This program is heavily memory intensive, and considered one of the more stressful burn-in programs.

CPU Burn CPU Burn-in Homepage
CPUburn will heavily stress your whole system, giving a good indicator of stability

SiSoft Sandra SiSoftware Zone
SiSoft Sandra(the System ANalyser, Diagnostic and Reporting Assistant) is an information & diagnostic utility. It should provide most of the information (including undocumented) you need to know about your hardware, software and other devices whether hardware or software. There are 58 modules in the standard(free) version, one of which is a Memory Bandwidth benchmark, and a Burn-In Wizard

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Benchmarking Programs
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Prime95 Free Software - GIMPS

FutureMark Futuremark - best PC benchmarks and system performance tests

Unigine Benchmarks | Unigine: real-time 3D engine (game, simulation, visualization and VR)

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BSOD Log Viewer
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A BSOD log viewer can be very helpful for pinpointing the cause of the fatal error (Blue screen of death).

BlueScreenView Blue screen of death (STOP error) information in dump files.

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Application Crash Log Viewer
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AppCrashView AppCrashView - View application crashes (.wer files) in Windows 7/Vista

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Notice
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I hope this is helpful for the new users out there!

Let me know if theres any notable programs that I missed.