Sandra's stress test is a bit weaker than Prime 95's, IMO. Any app which uses 100% of the CPU for a sustained time is a good burn in test, as it helps to check whether your CPU gets too hot under load, and if the RAM is happy with much activity or not.
Many folks use stress tests to check out how overclocking affects their systems reliability. If you overclock (CPU, RAM, video or anything) then you are risking some stability. Burn in tests will help to see if your system is still stable after overclocking.
Another useful stress test in Passmark's
Burn-in-test. Has a free trial version.
Cheers
Mick