In Oblivion, one of the stats was your current bounty, which was a great way to double-check to make sure you weren't caught when stealing, etc. But Skyrim doesn't seem to have this.
I've found one proxy method: You can see your lifetime bounty in Stats/Crime. You have to keep your current amount memorized though, if you want to use it as a "did I just get caught" check.
On a console, press start -> stats tab -> 2nd or 3rd page down, it lists your exact bounties and in which cities :)
My guess is that on the PC it would be Esc or something... it's there the first page is your quests, the second is "stats" and the third your saves.
Unfortunately, there is no direct "interface" way of finding out what your exact bounty is. This is most likely a design oversight.
Another trick to do it would be to save, let yourself get caught by a guard and see how much bounty you have to pay. Then reload.
It is possible to see your current bounties. Go to:
Quest Menu > General Stats > System Screen
General stats, under crime, you can see your current bounties. If there are no cities shown up, it means you have no bounty. It's that simple. :)
The system lists the bounty amount twice when you stole something or kill someone:
You get a warning message at the top of the screen, it lists the bounty amount.
Guards will hunt you down, they will ask you for the bounty amount (if not, they will try to kill you).
It's obvious when you got caught stealing or killing someone:
You will get the warning if they decided to put a bounty on you.
You will hear a dialog related to your stealing.
Persons will flee to get guards or attack you, guards will attack you.
I don't see why you would need to know the bounty if you don't have the chance anymore to pay it, as they are chasing you down. As for looking whether they detected you, the systems has enough ways of telling you so that you do not need to check if you have a bounty on your head.
