We can use hg in -vp to compare our local repo to the master repo.
How can you do this visually? We use the ExamDiff extension as our Mercurial visual diff tool. We figured there was a way to do the equivalent of hg in -vp but wasn't sure how to do this.
hg diff and its extensions are set up to compare versions within a repository, not for comparing different repositories so the easiest way to do this is to create a fresh local clone of the master, and use ExamDiff to compare that clone with your other local repo.
You can use the non-bundled rdiff extension (see the answer to an earlier question) to see textual diff.
None of the visual diff tools that I'm aware of (Beyond Compare, kdiff3, meld, DiffMerge) works over network. However if your repos are on the same LAN, it wouldn't be too difficult to write a small extension to find the divergent files between two changesets in two repos, extra them into a temp directory, and run visual diff there, which is basically what ExtDiff does within one repo.
Niall C's answer is still the preferred choice, since you'll need to pull master repo sooner or later (the sooner the better), so you may as well just pull and diff locally.