PHPUnit assert that an exception was thrown?

You can also use a docblock annotation until PHPUnit 9 is released:

class ExceptionTest extends PHPUnit_Framework_TestCase
{
    /**
     * @expectedException InvalidArgumentException
     */
    public function testException()
    {
        ...
    }
}

For PHP 5.5+ (especially with namespaced code), I now prefer using ::class

<?php
require_once 'PHPUnit/Framework.php';

class ExceptionTest extends PHPUnit_Framework_TestCase
{
    public function testException()
    {
        $this->expectException(InvalidArgumentException::class);
        // or for PHPUnit < 5.2
        // $this->setExpectedException(InvalidArgumentException::class);

        //...and then add your test code that generates the exception 
        exampleMethod($anInvalidArgument);
    }
}

expectException() PHPUnit documentation

PHPUnit author article provides detailed explanation on testing exceptions best practices.