From time to time you may get a problem on your machine that you want to understand if its truly a physical memory test. I remember in the old DOS days that I used to use various utilities that would help me check whether I had a physical memory fault condition or not. Recently I was chatting to one of the PSS guys and he told me about the Windows Memory Diagnostic tool.
Its quite good - Vista has it built in too. You just go to your searchbar in the start menu and type in "Memory Diagnostics Tool" without the quotes of course. On the next boot before the OS starts it does a complete memory check for you.
That's cool, but IMO any memory test that only takes 5 minutes is going to miss stuff. =)
MemTest86 (http://www.memtest86.com/) and the derivative MemTest86+ (http://www.memtest.org/) are very thorough. I've used them a lot since discovering them a few years ago. The Ubuntu Linux install CDs now include it as a boot option (instead of installing Ubuntu) so that you can use your CD for testing hardware. Also UltimateBootCD (http://www.ultimatebootcd.com/) contains these tools as well as many others, and is an invaluable PC testing and repair tool.