ESV - 8 The wind blows where it wishes, and you hear its sound, but you do not know where it comes from or where it goes. So it is with everyone who is born of the Spirit.
For follow-up discussion and general commentary on the topic. Comments are sorted chronologically.
Acts 10:44 - While Peter yet spake these words, the Holy Ghost fell on all them which heard the word. 45 And they of the circumcision which believed were astonished, as many as came with Peter, because that on the Gentiles also was poured out the gift of the Holy Ghost. 46 For they heard them speak with tongues, and magnify God.
To put this plainly without going into deep theological talk the simple answer is when the wind blows in the storm, you can HEAR the wind and SEE the affects of it (blowing trees, leaves flying around, etc..)
The same thing with receiving the Holy Spirit. If you dig through the book of Acts, you will see that when you receive the gift of the Holy Ghost (or Spirit), you will speak in a new tongue. This is the "Sound" of evidence that you have been filled. This is why the Jews were astonished that God gave the Holy Ghost to the Gentiles as well.
This statement (belief) may not be popular to some, but if you study it out, you will find this is the sign that God gives. Acts 2 was the very beginning and when people received the Holy Ghost, people outside the church thought they were drunk because they HEARD them speaking in another language.
Remember God confounds the wise man. Things are done not by might, nor by power, BUT BY HIS SPIRIT! ;-)