Assuming you have some level of control over the protocol, I'm a big fan of sending heartbeats to verify that a connection is active. It's proven to be the most fail proof method and will often give you the quickest notification when a connection has been broken.
TCP keepalives will work, but what if the remote host is suddenly powered off? TCP can take a long time to timeout. On the other hand, if you have logic in your app that expects a heartbeat reply every x seconds, the first time you don't get them you know the connection no longer works, either by a network or a server issue on the remote side.
See http://stackoverflow.com/questions/865987/do-i-need-to-heartbeat-to-keep-a-tcp-connection-open for more discussion.