Rivatuner can at the very least overlay your GPU temps on screen, I think there's plugins for other components too but don't hold me to that!
not sure, but a lot of the temp apps will show you the min/max temps, so after you exit the game you would no how high it went, think thats the closest you will get. i wanted something that would show, or atleast log the memory and cpu usage while playing a game, to see if anything was actually pushing it at all, but nothing is around that i could find.