The easiest test is visual: if the surface is bulging even just a little and/or the capacitor isn't standing straight (this one doesn't apply to Soviet electronics), it has failed. There are lots of tutorials on the net, there is definitely something on http://www.eevblog.com/ But the way I learned it was to just take an old PSU, try to get a component out and then solder it back on.

[edit:] Some googling found this thread for capacitor testing: http://www.badcaps.net/forum/showthread.php?t=17592 I found the badcaps community pretty good when looking for a new PSU, there seemed to be many knowledgeable posters.