How can you tell which pane in Tmux is focused?

Here are the relevant settings:

pane-active-border-style fg=colour,bg=colour
    Set the pane border colour for the currently active pane.

So, try adding something like this to your ~/.tmux.conf:

set-option -g pane-active-border-style fg=blue

That will set a blue border around the active pane. The pane-active-border-style bg=colour option can be used for a more visible solution, as well.