I’ve read on sites like Luminous Landscape about how much of a problem sensor dust is on digital SLRs. Periodically, I’ll shoot something suitably smooth textured and look for dust. I still haven’t found any. I haven’t decided yet if this is because I’m very careful (and lucky) about when I change lenses or if it means I’m clearly not taking the camera enough places to shoot with so it’ll get dusty.
Update: Of course, a week or so after posting this I noticed dust spots on some shots.