A Rolex is a high-class watch specially designed by Swiss watchmakers. Because they're very expensive (the price range of these watches can go from a couple hundred to several thousands of dollars), many have created counterfeit watches to cheat people into buying fakes for a reduced price. Gullible buyers, thinking they are getting a bargain, only get a cheap imitation. The Perpetual Oyster Rolex watch is a popular among counterfeiters. It can be offered in stainless steel, 18 carat gold and 18 carat diamonds.
Check the back of the watch. If it has a clear display, and you can see the inner mechanisms of the watch, then you are dealing with a fake Rolex. Also, if it has any engravings, it is also a fake (unless it's a ladies watch issued prior to 1990, or a Sea-dwell). The surface of the case back should be smooth with a hologram showing the serial number of the watch in 3D, and a pattern with the name ROLEX that changes its appearance when slightly moved. Fakes are simply engraved and don't have holograms.
Look at the date on your watch. The number should occupy almost the entire space. Counterfeit watches have a date magnification of around 1.5 times the original roller, while original Rolex go to 2.5 times.
Unscrew the winding crown completely and use a magnifying glass on it. You should see a black ring around the base of the crown.
Check right behind the 30 minute marker for a tiny coronet engraved on the crystal. Use your magnifying glass for this step as well. Only watches issued after 2002 will have this.
If you are buying a Perpetual Oyster, check between the lugs for a serial/registration number. This is the most accurate way to check for authenticity. You can cross reference the numbers. See Resources for a list of them.
If you are buying a Yachtmaster, check the minute hand. It should be significantly thicker than those on any other Rolex models.
Try not to buy watches online--they are very hard to check for authenticity. Always buy your watches at an official Rolex retailer.