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This question can have two different answers. If the site is one that you have no authority to test, I strongly recommend not testing it. Often times, however, simply trying to input data into a site can cause it to generate errors. If you get errors that appear to be from the database (i.e. ORA, ODBC), then there is a good chance the database is vulnerable to SQL injection, an exploit where malicious code is added to a Web form input box so important resources and data can be accessed and possibly tampered with.
If you are referring to a site that you own, I recommend checking out the Samurai Web Testing Framework. This is a live CD that has the absolute best open source Web-testing tools. It is free, and all of the tools are compiled and ready to go.
Once you get the environment up and running, I recommend looking at w3af, a Web application attack and audit framework, and the Burp suite of tools, an integrated platform for testing Web apps. These tools check your applications for vulnerabilities like cross-site scripting, SQL injection and command injection.
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