Easiest way is to use the Adwords CPC estimator. A high CPC estimate indicates that the keyword is VERY competitive.
That's actually a good idea, Anita. Another method is mentioned in this thread Myself and "bloglover" give comments. "Blog lover" actually has a great tool that comes out of this thread called keyword research and competition finder
SEO Tools to find a competitive keywords http://www.seobook.com/archives/001013.shtml http://www.seocompany.ca/ or Google Adwords