Some prime tests only work with certain numbers, for instance, the Lucas–Lehmer test only works for Mersenne numbers.
Most prime tests used for big numbers can only tell you that a certain number is "probably prime" (or, if the number fails the test, it is definitely not prime). Usually you can continue the algorithm until you have a very high probability of a number being prime.
Have a look at this page and especially its "See Also" section.
The Miller-Rabin test is, I think, one of the best tests. In its standard form it gives you probable primes - though it has been shown that if you apply the test to a number beneath 3.4*10^14, and it passes the test for each parameter 2, 3, 5, 7, 11, 13 and 17, it is definitely prime.
The AKS test was the first deterministic, proven, general, polynomial-time test. However, to the best of my knowledge, its best implementation turns out to be slower than other tests unless the input is ridiculously large.