For cantaloupes and their ilk, the sniff test works perfectly at a farmer's market, although it is generally useless in a supermarket. The slightly depressed circular stem end (where the stem used to be) should be highly aromatic. Some melons, like the Santa Claus type, get a blush of yellow under the green skin. Honeydews are trickier, but they should be aromatic and have a bit of yellow blush beneath the green. Watermelons have a patch on the bottom that gets bright yellow as the melon ripens. There are so many types of melons (and often no way of knowing the variety) that it is difficult to generalize, but there certainly are external signifiers, although these are more readily apparent to the grower than the buyer. Like tomatoes, many melons are hybridized to withstand shipping and are picked immature for the same reason. Local melons in season are worth seeking out; you won't find a luscious Harper Hybrid or Jenny Lind or Lambkin or Charentais or orange honeydew (and etc.) in the supermarket.
I'm borrowing a paragraph from our Down & Dirty column here, because I can't say it any better:
"A quick word about ripeness: because melons have no external signifiers of ripeness -- size can vary dramatically and the outer skin doesn't change in appearance -- it's hard to tell when they're fully mature. While plenty of people swear by a quick knuckle-rap on a melon's surface, the best way to tell is by turning the melon over: if the yellow-brown patch where the melon lay on the soil is pronounced, large, and dirty, it's a good sign that it has been growing for a while! Try it next time you buy a melon -- I bet it'll work for you."
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"A quick word about ripeness: because melons have no external signifiers of ripeness -- size can vary dramatically and the outer skin doesn't change in appearance -- it's hard to tell when they're fully mature. While plenty of people swear by a quick knuckle-rap on a melon's surface, the best way to tell is by turning the melon over: if the yellow-brown patch where the melon lay on the soil is pronounced, large, and dirty, it's a good sign that it has been growing for a while! Try it next time you buy a melon -- I bet it'll work for you."