To add to Anarach's answer...
There are 4 things around a head gasket - combustion chambers (cylinders), oilways, coolant-ways and the outside air. They can fail between any two (or more) of these, and each has different symptoms.
oil-coolant failures will result in one or both being contaminated - look for a mayonnaise-like substance in the oil (though small amounts of this can also form from condensation, particularly if the engine has been sitting for a while), or oil in the coolant.
oil-air or coolant-air failures should be obvious, with deposits of either on the outside of the block.
oil-cylinder or coolant-cylinder failures are probably most common. They will result in a smoky exhaust (as the contaminant is burnt), and pressurisation of the oil or coolant systems (leading to loss of coolant and the overheating that is commonly the first obvious symptom). They can also be detected by a compression test, which will check the amount of compression in each cylinder - a failed one will be much lower as the air will be escaping.
cylinder-air failures are rare (though you can also get cylinder to cylinder failures, particularly in over-bored engines). Again, a compression test is a good indicator...