If it's a government agency or the police tapping your line, and they are doing it legitimately (with a court order, etc.), then there is no way you can find out until they arrest you with evidence they received that way. These types of taps are done at the telephone company's substations or switching stations and are nowhere near your home. There is no way to detect these sort of taps.
If it's an amateur or non-governmental tap, you MAY be able to detect it. Trace every phone line in and outside your house from the pole. Look for any splices or strange devices/boxes. If you find something, call the phone company. They'll identify it for you.
Also if you received a phone as a gift or prize, it might be a phone with a built in transmitter.
If you use a cordless or handheld phone, it is transmitting info to the world and a good scanner (professional model) can pick them up. Even the 900Mhz "frequency jumping" cordless phones are not totally secure.
You may need to hire a professional Counter-Surveillance (TSCM) agency to check your home out. Expect to pay at least $3000 to have your home checked, and this should take two-three people at least 8 hours. If the person you hire comes with only a small single piece of equipment, you will not be getting full service. The equipment needed to attempt detect taps takes alot of equipment. And even after all this, you still may not find anything.