Another good trick, in addition to smelling the stem end (it should smell sweet) and hefting the melon (it should feel heavy for its size), you should look for a small spot of discoloration. (I saw this on Alton Brown's show)
The spot of discoloration is where the melon rested on the ground and is proof that the melon ripened there (presumably attached to the vine), rather than "ripening" in a truck after being plucked.
You should catch that episode of Good Eats. It dispels some of the myths of testing cantaloupe and other melons (like honeydew) for ripeness...although Alton says you can't tell by the smell at the stem end. I don't really agree with that!