You could...

1/ have it flash an led (probably the easiest).
assumes led connected to P1.0

start:
clr P1.0
mov b,#100
loop1:
mov a,#255
loop2:
djnz a,loop2
djnz b,loop1
setb P1.0
mov b,#100
loop3:
mov a,#255
loop4:
djnz a,loop4
djnz b,loop3
sjmp start


2/ do a binary count out one of the ports and use an oscilloscope to look at it.

start:
clr a
loop:
mov P1,a
inc a
sjmp loop

hours of fun for the kids!

2/ init the lcd display (if you have one) and put a message on it.

3/ connect a speaker and have it beep (works well with PCs)

4/ output a message on the serial port

You've stumbled onto the magic of electronics! We can't see the electrons so we have to put in diagnostics that tell us something. If unsure of your code, get a simulator and single step thru on your PC.