depending on how many probes you have available, here's the order of priority: (well my priority anyway)
1. cpu temp- you may get away with the sensor touching the back of the core with the leads snaking out through the pins, if the leads are fine enough.
I actually got everything to drill through the hs and epoxy a thermistor right at the surface, in contact w/ the top of the cpu core. The lead goes to my Omega handheld digital thermometer, so this is maybe not what you're looking to do.
Here's an animation showing how I installed the the thermistor from a volcano-9 HSF, which sports an automatic fan-speed control, as well as a manual rheo. (Pretty slick what has become standard these days.) The .gif file shows it with a Duron:
Bear in mind that this could interfere with the mobo's onboard temp sensor, if you're so equipped.
2. Case temp. I measure this a few inches from the intake to the hsf.
3. Vid card chipset temp.
4. Some people also like to watch mobo chipset temps, hdd temps, and I personally like to keep an eye on the temp in my cat's butt.
he's smiling!
5. It's not a bad idea to be aware of room temp, too.
