Monitoring
MotherboardMonitor (MBM) - http://mbm.livewiredev.com/ Good for monitoring voltages/temps. No longer in development though.
SpeedFan - http://www.almico.com/speedfan.php Not a bad little program for monitoring voltages/temps.
CPU Identification/Information
CPU-Z - http://www.cpuid.com/cpuz.php Good tool for hardware information.
CPU Clock - http://www.cpuid.com/download/cpuclock.zip Tiny little app for really accurate CPU/FSB speed measurement. Displays to the 10-thousandths.
WCPUID - http://hp.vector.co.jp/authors/VA002374/src/download.html Another one.
Stress Testing
Prime95 - http://www.mersenne.org/freesoft.htm Very good system stressing tool. Make sure you go into Advanced>Password and put in 9876. Then set the priority to 10 for a much more rigorous test.
SuperPI - http://pw1.netcom.com/~hjsmith/Pi/Super_Pi.html Calculates PI to a desired amount. It's not bad but doesn't do as rigorous test as Prime95.
MemTest86+ - http://www.memtest.org/ Best ram checking tool there is.
SiSoft Sandra - http://www.sisoftware.net/ Lot's of stressing and benchmarking tools in this one.
Well that's all I can think of for now. Feel free to add any apps you think should be on this list.