There is no in game method to tell if you haven't received a side mission yet. However, most places where you receive side missions will tell you if there is a new one to pick up. This is done through a claptrap speaking to you when you enter an area. "Crazy Earl has more missions for..."
If you know which missions you've done already, you can look at the list of all missions at http://borderlands.wikia.com and compare. You should be able to tell which missions you've missed. Common missed m issions are Crazy Earl's Claptrap, Rescuing Crazy Earl's Dog, the Bandit Treasure and others.