Usually a whining noise, but not necessarily constant...depends on the loading on the wheel (eg turning left or right or straight). Grab the wheel at 3 and 9 o'clock and trying wiggling it. If you can feel a bit of play it could be a bearing, though on a front wheel it could be a track rod end. Grab the wheel at 12 o'clock and try shaking again. If you have a bit of play there as well, its probably the bearing. Wheel bearing at your local garage (as oppossed to main dealer) should be about 2hrs plus the bearing...hopefully no more than £200.
There seems to be an assumption above that it's a front wheel bearing. In my experience it's usually a squealing sound as you make a turn that gives away the fact that a wheel bearing needs attention. (e.g. you're going round a roundabout at sensible speed and with no violent movements of the steering wheel and you think that some idiot must have slammed his brakes on so hard that they screech - then you realise that the noise is actually coming from your own car!).
However rear wheel bearing faults have always come to my attention from a roaring sound, that gets significantly louder as speed is increased. (It's not always a wheel bearing that causes such sounds though. I once took my car to a garage to have a rear wheel bearing fault fixed and was told that the noise was actually caused by a misshapen tyre).
The sound is constant, If possible with safety in mind, Jack each side of the car up, with the handbrake on, put the car in first gear release the clutch & go to the side you have just jacked up and listen, you will tell if the bearing is on the way out by a grating sound, the bearings are not that expensive, but there are two, the inner / outer, the cost of the job £100 should cover it a family garage, don't go to your dealer or K.F.
Often sound a bit like a motorbike behind you on smaller cars ! Best description I can think of.
I got a new front wheel bearing fitted on my little Fiat for £43 all in.