1. Buy paints that have ASTM ratings of II or I. Don't buy them if the rating is higher. If they don’t show ratings, or they don't list the pigment composition, assume they’re not lightfast and steer clear of them.
2. Keep art in a drawer or behind a curtain.
3. Use UV-filtered glass in picture frames.
4. Don’t hang artwork in direct sunlight unless you know it's lightfast.
5. Make a set of swatches out of the materials you use a lot and test them for yourself. Test not only the paints, pens and pigments, but also the paper, varnishes, and fixatives. Try them in all kinds of combinations so that you have an experimental control, and also you can see what happens with various interactions.
Remember that your substrate is part of the equation. Some materials, like this pulp newsprint paper, darken and increase in chroma with exposure to sunlight.
Regarding point #1, a few color experts such as Michael Wilcox and Bruce MacEvoy have been urging manufacturers to give more information on their labeling. Manufacturers, for the most part, have responded, and most reputable makers will show the pigment names and ASTM ratings.
Michael Wilcox has published an excellent book called The Wilcox Guide to the Best Watercolor Paints. Cloverdale, Perth, Australia: Artways, 1991. An exhaustive analysis of the composition of each watercolor pigment from each of the manufactures, accompanied by swatches and lightfastness tests.
There are a lot of great resources on the internet to learn more about the lightfastness of common art materials pigments:
artiscreation.com By David G. Myers. Thorough chart of pigments and their properties.
handprint.com. By Bruce MacEvoy, 2005. Extensive guide to the watercolor pigments.
hilarypage.com. By Hilary Page. Reviews and tests of watercolor pigments, and a book called "Hilary Page's Guide to Watercolor Paints."
paintmaking.com. By Tony Johansen. Reference primarily for oil painters, especially those who want to make their own paints. Click on the link for pigments and follow to the various color groups.
makingamark.blogspot.com. By Katherine Tyrell. Various resources for artists, including a helpful resource list for art materials.
Katherine Tyrell also has a link-rich page on Squidoo with information about colored pencils.
After sorting through all these sites and doing some experimentation of my own, I’ve created a table with pigment information that ranks the most familiar pigments according to lightfastness, opacity, toxicity, drying time (in oil) and tinting strength. This pigment chart will appear in a table at the end of my upcoming new book on Color and Light (October, 2010, Andrews McMeel).