Probably the most important thing to note here is that not all wheel bearing noise is a wheel bearing. In fact, most times it's the tires. To make the determination, you can use a couple of different techniques. My preferred method is to run the vehicle on a lift and stop one wheel at a time by using a pry bar to lock the brakes. This helps locate the bad wheel bearing through isolation. This might not work if you have a limited slip differential, and it might make you a bit nervous. Here's a video showing how I do this without a lift.
Many people believe you can feel a bad wheel bearing by moving the suspected wheel up and down or side to side by hand. That's not always the case. In fact, a wheel bearing will make noise long before it will click, or show any movement when you try and shake the wheel. The truth is that once a bearing gets loose enough to feel the play, it sometimes gets quiet and doesn't make noise anymore. It know it sounds strange, but I've been burned on this very thing in the past. I had a car once that didn't make any wheel bearing noise at all, but when you grabbed the tire when it was off the ground, it felt like it was about to fall off.
Another method that's been brought up in the comments to the above video quite a bit is the slalom method. This involves driving and turning the wheel from one side to the other while listening for the noise. If you make a right turn and hear the noise, the left bearing is bad, and the opposite is true for turning in the other direction. I've never tried this, but I'm sure it works, as many have mentioned it in the comments of the above video.
One last method: If you have an infrared thermometer, take the vehicle on a long drive at speed. When you get back and park the car, take the temp reading of both wheels at the hub. The hotter wheel will likely be your bad wheel bearing.