depends on the game. Most newer games have "console commands" you can use to see your fps
ex: Unreal Tournament, open console and type, timedemo1 i think
or BF1942, open console and type, console.showfps 1
the is also a proggy called "Fraps" that runs in the background and shows your fps in the corner of the screen. Dunno how accurate it is but seems pretty good www.fraps.com
For Quake 3 Arena type in your console:
If you type in /cg_ and then the tab button you will see all the commands with cg_
You also have /com_maxfps 125
This is to set your maxfps to 125, because if you have a constant fps of 125 you will jump farther and higher. More fps then 125 doesn't have any influence.
You can again use tab after /com_
to find even more things to change.
What's also a nice thing is /cg_fov 110. This sets your Field of Vision to 110 degrees instead of 90 default.
Have fun and mail me if you want to know more commands for Quake 3 Arena.