How can you tell which pane in Tmux is focused?

Here are the relevant settings:

pane-active-border-style fg=colour,bg=colour
    Set the pane border colour for the currently active pane.

So, try adding something like this to your ~/.tmux.conf:

set-option -g pane-active-border-style fg=blue

That will set a blue border around the active pane. The pane-active-border-style bg=colour option can be used for a more visible solution, as well.

As answered in another post it is now possible in tmux 2.1 to set the colours of individual panes. Ones can use:

set -g window-style 'fg=colour247,bg=colour236'
set -g window-active-style 'fg=colour250,bg=black'

in the ~/.tmux.conf file to show a difference between the active/inactive panes.

With Vim If you find it does not work with Vim panes, it might be down to the colourscheme you are using. First, try another colourscheme such as pablo. For further details, see the other post.