I've used MemTest, which runs under Windows, but I've never quite had faith in it; partly for the reasons other people have mentioned, but also partly because I've never seen used in anger (i.e. on RAM that actually turned out to be faulty) - so I cant vouch for it's effectiveness.
Like many others, I rely mainly on MemTest86+ (boot from CD). I know you might find it inconvenient, but with 4GB+ in many machines these days, and given that you need to run through several passes to be thorough, checking the RAM properly is an overnight job.
Having just upgraded to an i7 mobo, CPU and DDR3 RAM, the first thing I did was test the RAM on the first night. As it happens, the RAM appeared faulty, so each night, I ran another test with various combinations of sticks and various BIOS settings to confirm the extent of the problem. When I return the RAM under an RMA, I'll get charged an admin fee if the RAM isn't found to be really faulty - so it's important to make sure I get my facts right - hence the more laborious route of multiple, overnight memtest86+ runs... It's worth it in the longer run.