TechPowerUp Memtest64 is a free lightweight, standalone utility that lets you check your system memory for problems at the hardware-level. It has a graphical interface, and can be run from within Windows.
Memory hardware errors can cause major application crashes, blue-screens of death (BSODs), and data corruption. It is caused due to either faulty hardware, or bad memory timings/frequency. Memtest64 lets you test your memory without having to pull out an MS-DOS boot disk. The utility loads your physical memory with test-patterns, and can push other applications into the pagefile to free up memory for testing.
It can also be useful to overclockers who are looking to maximize memory performance by playing with timings and DRAM speeds.