You cannot check it from the server's side, but you can use javascript to detect it after the page has loaded. Compare top and self, if they're not identical, you are in a frame.
Additionally, some modern browsers respect the X-FRAME-OPTIONS header, that can have two values:
DENY – prevents the page from being rendered if it is contained in a frame
SAMEORIGIN – same as above, unless the page belongs to the same domain as the top-level frameset holder.
Users include Google's Picasa, that cannot be embedded in a frame.
Browsers that support the header, with the minimum version:
Use javascript to check if it was loaded on iframe by placing the following script at the end of your php file and redirect to a page that displays warning or notice that your page should not be loaded using iframe.
Or you can block a specific domain if you don't mind your content in some locations but don't want it on a certain site. For example, if offendingdomain.com was embedding your content, you could do this:
This would check the parent document's location and see if it's the offendingdomain.com that is embedding your content. This script will then send that iframe to a certain famous youtube video as punishment. In effect they just Rick-Rolled themselves.
For modern browsers, you can use CSP (Content Security Policy), which is a standard. The following header will prevent the document from loading in a frame anywhere:
Content-Security-Policy: frame-ancestors 'none'
(IE 11 needs the X- prefix, though). You can also change 'none' to the origin on which framing is allowed, such as your own site.
To cover the older browsers, this is best used together with @Maerlyn's answer.