First try logging into your router (google if you don't know how) to see if any surprise devices are connected to your internet.
Then use your computer or phone's Bluetooth device search, which may or may not tell you of any Bluetooth-enabled devices wanting to connect.
Some people say that, in a darkened room, your phone camera will pick up or reflect any infra-red coming from cameras.
Very small devices need a power connection, so you can check out where all the wires go.
Some hidden devices draw power directly by being disguised or embedded in wall plugs, light bulbs, extension leads etc. It would take you quite a while to find them because you have to take them apart to look.
If you're serious about this, be very methodical. I tried once, but was too emotional and self-doubting to make a thorough job of it. (It didn't matter in the end, but I was cross with myself for being a wuss!)
The scanners they use in films do exist, but the ones that work are expensive - and you need a couple of hours to scan a house.
Bear in mind that a phone is a listening device. It's the easiest bug in the world, you only have to leave it lying around.
Keyloggers (computer) and spyware apps (phone, tablet) are readily available and usually quite well hidden. You can download apps that claim to check your devices for them, but a lot of them are actually malware. If I was desperate to know if my devices were infected, I'd take them to a proper computer repair place ... or do a complete wipe & reinstall, losing my files in the process.
Are you sure you really need to know? Can you just not do/say the stuff you want to keep private? Or act utterly, utterly weird and see if you get a reaction?