Always a tough question. How do you know if that link you worked so hard to get/paid for/borrowed stole is providing you any benefit?
Aaron has a few really good tips:
http://www.seobook.com/archives/002347.shtml
Including...
Check the Pages it Links to
You can add a word to your link anchor text and see if your target page ends up ranking for a phrase it already ranks for + that additional word
Link to an Orphan Page
Anyone else know any good methods?