The simplest way to check if your phone is locked is to insert a SIM card from another network and see if the phone will accept it. If your phone is locked you will often see an error message of some kind. These messages vary depending on your handset manufacturer:
Nokia = "Enter restriction code" or "SIM card rejected"
Motorola = "Enter special code"
Ericsson = "Enter Correct SIM"
Sony Ericsson = "Incorrect SIM"
Samsung = "Invalid Network SIM...Enter Code"
Panasonic = "Invalid SIM"
Siemens = "Phone disabled! NETWORK LOCK"
Sharp = "Invalid Network SIM"

If you do not have access to a SIM card from another network then there is a less scientific method you can use to check if your handset is locked. Simply look to see if your network has placed their logo on your phone somewhere. For example in the UK orange always lock their handsets and they always "badge" their phones with their own Orange logo either on the front or the back of the handset. It is a sure give away that the network has customised the handset to their requirements which means they have also locked it!