First step, take a look at the brand. Of all the professional sports, these are the companies which make their authentic jerseys:
NBA: Reebok
NFL: Reebok
Arena Football: Nike
NHL: CCM
MLB: Majestic
Second step, take a look at the tags. Check the pictures of the retail version available at the official shop of the league. Be sure the look at size of tags, logos, fonts, colors, etc.
Third step, take a look at the price. If it's cheap... it ain't real. Generally, authentic jerseys should fall like this:
NBA: $150
NFL: $200-$250 (usually $230)
Arena Football: NOT YET AVAILABLE
NHL: $200 ($275 when there's hockey, lol)
MLB: $140-$220 (usually $160)