i remember asking CdB the same question. There is a utitly (you should ask him) which displays that, but only in D3d Games, i think. But games like Quake III have a built in FPS displayer, you just need to type in some stuff.
A lot of games have a way to get fps using some manual key, but there are various utilities for more general features. If your PC games use some manner of DirectX, for example, Fraps at http://www.fraps.com works marvelously. There are plenty of other speed testing utilities, so try search engines or semi-reputable download sites.