Look for a safety standard sticker. In the USA ithere is a number of standards-

CPSC Standard
The Consumer Product Safety Commission
The CPSC standard uses a lab test drop of 2.0 meters on a flat anvil and 1.2 meters on a hemispheric and a curbstone anvil.

The Snell Standard is considered on of the toughest, and they independently buy and test helmets (rather than have manufacturers submit them for tests).

Plus a couple of other not so well known ones.

In Australia and New Zealand, the current legally-required standard is [B]AS/NZS 2063. The performance requirements of this standard are slightly less strict than the Snell B95 standard but incorporate a quality assurance requirement. As a result, the AS/NZS can be argued to be safer.

So basically if it has certification it has passed a test. Some tests are considered "better" than others so you might want to look out for those certifications on a helmet. If it doesn't have a certification- don't buy it.