You'll hear it if it's blown. It'll be a constant ticking that drives you nuts. It'll also remind you of a late 70's/early 80's Chevy beater pickup with the way it sounds. You could lose a little power from it being blown, too, depending on how bad it's blown.
Yeah, my passenger side header has a small leak, and its a ticking that will speed up/get louder as you accelerate. Probably won't lose much power, but if its real bad you can lose some and the O2 sensor may not get a completely correct reading.
Like the other guys have said its a constant ticking that gets louder as you go faster. I just had to change my drivers side gasket last week. Its mostly just a nuisance but it does cost some power. Use fel pro or mr. gasket gaskets and check the bolts every so often and you should be safe.
You also might see a little black spot around the port from the exhaust escaping. Like said, if it's bad enough it can mess with the O2 readings. I had this happen to me and the car ran MUCH better after I fixed it.