Check the crystal on your watch. On a real Rolex watch, the so-called "Cyclops Bubble" is centered right over the date, and magnifies it by almost three times. On a fake, the bubble often appears off-center and it hardly magnifies at all.
Look for the sticker on the back of the case, above the number assigned to your watch's case. A genuine Rolex displays the famous Rolex crown in the form of a hologram that changes when you look at it from various angles. A fake Rolex contains only a flat image of the crown and is the same however you view it.
Check the reverse of your watch. Most Rolexes have a clear back to allow you to see the inner workings. In addition, many of the parts have the crown etched on them -- further validation that it's a real Rolex. A knockoff, on the other hand, usually simulates those workings by using a decal.
Get back the money you paid for your watch if the second hand moves in a jerky fashion. A real Rolex is famous for the continuous movement of its second hand, an action that a fake Rolex is unlikely to replicate.
Weigh your watch. Rolex prides itself on making one of the most durable watches in the world and the company uses only the finest materials. That means a genuine Rolex is heavier than most knockoffs, which are made with cheaper and lighter materials. In addition, the bands on a Rolex are made with solid links whereas fakes often have hollow ones.