Excessive noise at some point along the exhaust or at the engine, air escaping at a joing or where the manifold meets the engine, exhaust or fuel-like smell under the hood, those are a few that come to mind.
One quick test is to press something like a block of wood tightly against the tailpipe (it has to completely seal the pipe - potatos and bananas will also work depending on pipe size) while the engine is idling and hold it there for 8-10 seconds. The engine should stall in that time. If the engine keeps running it means you definately have an exhaust leak. This may not catch very small leaks but should help detect large ones.
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