It is trivial to set things up so you are able to select memtest86 as a boot option in GRUB:
Download the latest memtest source from http://www.memtest86.com.
Extract and follow the instructions in the README that comes with it to compile. Copy the resulting memtest.bin to /boot and edit /etc/grub.conf to have the following 3 lines:
title Memtest86 root (hd0,0) kernel /boot/memtest.bin
Make sure you reboot to test.
In theory this should work with any x86 OS + bootloader. I am doing this with RHEL 4 + GRUB.