First, the fancy way: infrared photography can identify temperature changes on different parts of the house, and thus heat losses. With proper interpretation of the photograph you can know which heat losses are caused by air leaks and which by missing or soaked insulation. This is like an X-ray of the house, and is better at identifying insulating problems than air barrier problems. It is also expensive.
Pressurizing, or depressurizing, the house with giant fans can exaggerate air currents through the walls, which can then be detected directly by your hand, or with "smoke pencils," or even with cigarette smoke. This is a precise technique, one used by professional sealing companies. Opening the windows on one side of the house will help push air through the wall on the other side of the house when the wind is blowing -- and then the cigarette or incense smoke test can be used by the homeowner himself to find leaks. Remember that on the upwind side of the house the air will be coming into the house (infiltration) and the smoke blows in. Testing the downwind side of the house is harder; there the smoke will blow into the wall (exfiltration). To check the ceiling or the attic, open the windows low in the house on the upwind side, close all the others, and close the attic hatch. This will force air up into the attic, and help you locate leaks there.