I just copied this from a post that frenchy wrote a couple months ago. I felt I couldn't say it better so I am just reposting it.
1. You should see the "superuser" icon in your app drawer
2. If you download terminal emulator or commandbot (like mentioned earlier), type "su" (w/o quotes), and see a #, not a $, you're rooted
3. Power you phone off then back on while holding volume down (this will take you to your bootloader screen) and you'll see something like this:
SUPERSONIC EVT2-3 SHIP S-OFF
HBOOT-0.97.0000
MICROP-041f
TOUCH PANEL-ATMEL224_16ab
RADIO-2.15.00.09.01
Aug 19 2010, 14:29:08
Make sure it says S-OFF. That means you've unlocked nand access. There have been instances where Unrevoked won't unlock nand access and perform a soft root. This can be easily remedied by flashing Unrevoked Forever.