This is a rather late answer, but for people coming to this from Google:
The correct way to check calibration accuracy is to use the reprojection error provided by OpenCV. I'm not sure why this wasn't mentioned anywhere in the answer or comments, you don't need to calculate this by hand - it's the return value of calibrateCamera
. In Python it's the first return value (followed by the camera matrix, etc).
The reprojection error is the RMS error between where the points would be projected using the intrinsic coefficients and where they are in the real image. Typically you should expect an RMS error of less than 0.5px - I can routinely get around 0.1px with machine vision cameras. The reprojection error is used in many computer vision papers, there isn't a significantly easier or more accurate way to determine how good your calibration is.
Unless you have a stereo system, you can only work out where something is in 3D space up to a ray, rather than a point. However, as one can work out the pose of each planar calibration image, it's possible to work out where each chessboard corner should fall on the image sensor. The calibration process (more or less) attempts to work out where these rays fall and minimises the error over all the different calibration images. In Zhang's original paper, and subsequent evaluations, around 10-15 images seems to be sufficient; at this point the error doesn't decrease significantly with the addition of more images.
Other software packages like Matlab will give you error estimates for each individual intrinsic, e.g. focal length, centre of projection. I've been unable to make OpenCV spit out that information, but maybe it's in there somewhere. Camera calibration is now native in Matlab 2014a, but you can still get hold of the camera calibration toolbox which is extremely popular with computer vision users.
http://www.vision.caltech.edu/bouguetj/calib_doc/
Visual inspection is necessary, but not sufficient when dealing with your results. The simplest thing to look for is that straight lines in the world become straight in your undistorted images. Beyond that, it's impossible to really be sure if your cameras are calibrated well just by looking at the output images.
The routine provided by Francesco is good, follow that. I use a shelf board as my plane, with the pattern printed on poster paper. Make sure the images are well exposed - avoid specular reflection! I use a standard 8x6 pattern, I've tried denser patterns but I haven't seen such an improvement in accuracy that it makes a difference.
I think this answer should be sufficient for most people wanting to calibrate a camera - realistically unless you're trying to calibrate something exotic like a Fisheye or you're doing it for educational reasons, OpenCV/Matlab is all you need. Zhang's method is considered good enough that virtually everyone in computer vision research uses it, and most of them either use Bouguet's toolbox or OpenCV.