The first thing I would do is check compatibility of that RAM for your motherboard. If that shows good, try the ram in a different computer. Don't have a buddy with the proper motherboard? Then take the memory to a local computer shop and have them test it. Can't find a shop with a RAM tester? Take the RAM back and get another stick. If you can't do that because of a bum Ebay seller, then start saving for another stick of ram as you try some basic things:
To me, it's painfully obvious that you have a bad stick of ram. I'm not going to discount the potential for a dirty/scratched/broken contact pad or even an incorrectly pressed circuit board (too thin). It could even be that your motherboard's voltage supply to the RAM isn't enough to "make it work," care of some hand-selected modules that require higher-than-optimal voltages. Is it impossible that you manually set all of your RAM timings WAY TOO HIGH thinking that you had the god of all ram, and it was magically the world's only ram that will reliably clock to 2-2-2-5 @ 1066MHz. Seriously, put all your settings as low as they can go and work your way up (inverse for the actual numbers, obviously) until you start to become unstable; or just be smart and put it on auto mode. If all these things are good, then switch brands of ram. No bull, not all ram is created equal, nor is it all compatible.