Many lenses or cameras have a depth-of-field preview button. This allows you to see through the lens with the aperture stopped down to the value you have set it to for the exposure.
This give you the ability to check the depth of field prior to making the exposure. The only problem with this feature is that the viewfinder becomes very dim at small apertures, which can make it a little hard to evaluate the effect. At apertures between wide open and about f/16 its pretty good though.
I use it on a regular basis with my Hasselblad. Its great for evaluating the difference between say f/5.6 and f/8 or f/11, if you want some DOF, but still want a blurred background.