In 9.1+ you can monitor the state of your slave easily with the standby_state field of pg_stat_replication:
SELECT standby_pid,
standby_usesysid,
standby_usename,
standby_client_addr,
standby_client_port,
standby_state
FROM pg_stat_replication;
If the standby is not connected at all the query will not return any result for that standby.
If the standby is connected possible values of standby_state are streaming (ideal state), catchup (standby has fallen behind), startup, backup.