Typically, I buy something cheap (PNY is cheap around here), and run memtest86+ overnight. If no errors are reported, I'm good to go. If any error is reported, I return the ram and try again.
So far, this process has worked out well.
How often have you had to return DRAM, Nick? Do you see problems very often?
I'm with the others on sticking with the major manufacturers of DRAM. You will rarely have a problem if you do that.
The user reviews on Newegg have proven useful as a general indicator. I have found if a large majority of users (>75% at five eggs) have had no problems with a specific type of DRAM, and if its specifications are compatible with the target system, there is seldom a problem using the memory.
I then use an appropriate flavor of memtest86+ to confirm the memory's compatibility and function in the target system.
Many of the motherboard manufacturers publish lists of tested or approved memory for their products. I use those occasionally, but often the lists are out of date.