Good question, each chain is different, for different types of riding and whatnot. Have you measured your chain? Have you had your chain slipping? Do you clean / lube the chain regularly?
Chains are cheap, sprockets however are not. For good measure, I would change the chain once a year, or every 2000 miles, whatever comes sooner.
Your chain may last a lot longer then that, however once it starts to stretch, it will ruin your sprockets, and you will need to replace the rest of the drive train with the chain. preventive maintenance will save you money in the long run.
A quick way to check the chain, is to measure 12 links, they should be EXACTLY 12" long, if its over by even 1/8" of an inch, you need to replace it, if its longer then that, take it to the LBS, and have them check it, it maybe to late, and you may need to replace more of your drivetrain.