If you have a multimeter, you should be able to read the voltage coming from the dynamo when you spin the wheel - measure AC voltage, and you should see ~6V or so - different dynamos give slightly different voltages, and the voltage will change with the speed at which the wheel is spun.

If the lights are incandescent type (not LEDs), then you can switch your meter to resistance, and measure the impedance of the lights - if a light is burnt out, the resistance will be very high (over 1,000 Ohms), if it is not burnt out, it will be quite low - less than about 10 Ohms.