With my first one, I had absolutely no idea. None. I actually had an infection that my mother made me go to the doc for. So of course she was right there when the doc came in with a funny look on his face (this was a doc I'd been seeing since I was very small and I was 19 at the time) and asked if it were possible for me to be pregnant. I was about a month along. So who knows how long it would have taken me to find out otherwise? My grandmother was in the waiting room and she actually fell of her chair she was laughing so hard when she found out. Needless to say, my whole family knew before the babies father. o.O
With my second one, I just knew but went in when I was around 9 weeks to make it official for military paperwork.
With my third, I had been activated for Iraq and I was preparing to have some very nasty shots (anthrax, etc.) and all women are given a mandatory blood test just to be sure since they vaccines can mess up the fetus pretty bad. It barely picked up my oldest daughter at 3 weeks and even then they weren't sure. They had me wait over the weekend and then they did another one to confirm it. I already had a niggling suspicion before I had the first test though, I just hadn't really admitted it to myself. Needless to say, they sent me home. :)
My fourth, and last one, I knew that night (don't know how but my girls are the only ones I know the exact date and even the time for my youngest.). I don't remember how I made it official. I think I used a test from the local grocery and after awhile went in to see the doc for insurance purposes.