A load bearing wall gives your home integrity and strength. Tearing into a load bearing wall can be a huge mistake, and it's important that you are able to locate the load bearing walls before you start any kind of project that involves tearing in to a wall.
Step 1 - What to Look for
You should just assume that the outside walls of the structure are load bearing. Walls that run perpendicular to rafters are also load bearing walls. Another place to check is along the foundation. Footers and girders in the basement are placed directly below load bearing beams.
Step 2 - Check the Plans
Even if your home was built some time ago the builder should still have the plans for the home on file. The plans will layout all load bearing walls and take any guess work out of it. You may have to pay for pans that have been archived, but this is far cheaper than trying to fix a mess created by pounding through the wrong wall.
Step 3 - Professional Engineer
A professional structural engineer will be able to help you find load bearing walls. If you are working on a large expansion or other project that requires an inspection you'll need to call one anyhow.