Well, whenever I wanted to check if a CPU was really dead I'd put my finger on it and then turned on the computer. If I could feel the CPU heating up, I was pretty sure it wasn't dead and something else was causing the problem. If I couldn't feel it heating up, I knew it was dead.
This method has always worked for me in the past.

Disclaimer : I've ALWAYS used this method on Intel CPU's, never on AMD's. The result should be the same, except that AMD's get a LOT hotter A LOT quicker.
If you try this method, be careful not to burn yourself.