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.
Best Answer
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.