You may have mixed RAM types. One stick may be error correcting, the other not. One may be parity, the other not. It's important not to mix different kinds of RAM because your computer still may work, but more often than not you'll start seeing random problems.
Also, you didn't give any information about your computer, but it's possible that you purchased the wrong type of RAM. If your computer has a 133mhz bus, for instance, you need 133mhz (PC133) SDRAM. Assuming of course that you are using SDRAM, which you also didn't mention. If you accidentally purchased PC100 SDRAM, you are running that stick at 133mhz, and overclocking it - leading to your computer getting hosed every time you do something memory intensive (such as playing a game).
Or, you could have purchased what you thought was PC133 SDRAM from an unscrupulous dealer who remarked it. That's a possibility - PC100 SDRAM (and other types, obviously) can sometimes be successfully overclocked. So this person could have run the stick of RAM at PC133, booted the computer, said "okay, that's good to go" and remarked the stick of RAM.
Like with my CPU, I can overclock it to certain speeds - and it will boot - but as soon as I do something resource intensive on my computer, it'll lock up.
Or, you could have latency issues. Maybe your original stick of RAM was set to CAS2, so that's what your BIOS is set at, but your new stick is CAS3 and can't quite make that speed.
As you can see, there are a hell of a lot of variables here. You might try another post, with more information about your computer. It also might be a good idea to just take that RAM back.