I've used such a check in one project. Code may looks as follows (not sure if it will work in versions of ColdFusion lower than 8), consider this sample as chunk of UDF written in CFScript:
// service factory object instance
factory = CreateObject("java","coldfusion.server.ServiceFactory");
// the datasource service
dsService = factory.DatasourceService;
// verify the dsn
return dsService.verifyDataSource(arguments.dsn);
Oh, I have even found small note in the code I wrote on my old laptop couple of years ago:
// [performance note] this server check takes 1-3ms at local PC (Kubuntu 7.10, CF8 + Apache2, Sempron 3500+, 1GB RAM)
While time looks like small I have found out that doing this check on each request is not really useful for my application. Any way I have a habit to use the try/catch extensively for errors handling. But if your datasources may cheange frequently it may have more sense.