Good point! Just plugging the psu into the wall socket and flicking the switch won't do anything, as it has to be connected to the mobo to complete the cicuit.
Disclaimer: Attempt the following at your own risk
The following web shows you how to test your psu without it connected to a mobo.
http://modtown.co.uk/mt/article2.php?id=psumod
When you have followed the above instructions, try connecting something like a floppy drive (or other useless/small component), if the psu is ok then lights/motors will work, if not, you know your psu is most likely dead.
Hope this helps.