But also approach this problem from the other side, building a white list of good cognitive states. When should you not scream "Error!"?
Some noteworthy cases come to mind:
You seem to have interpreted my question to mean "When do you scream 'Error!' when you shouldn't?". While your response contains valuable answers to that question, what I had in mind was building a (nearly) comprehensive list of indicators that you are currently being an effective rationalist, so that when you don't notice any good indicator, you can scream "Error!".
In Anna’s recent post, she talked about training your mind to notice when it wasn’t curious about something and scream “Error! Look for a different way to do this” in such cases. Johnicholas and TheOtherDave's list of what stupidity feels like also looks useful for this purpose. I'm creating this post to make a more comprehensive list of feelings which indicate that people should reanalyze different possible paths to make sure that the one which they're taking is the most effective one to their objective.
Please suggest additions to the list in your comments -- I'll move them up here (along with links to further explanation, if given.) Keep in mind that your description of the feeling should be as illustrative as possible. For example, "feeling stupid" is unhelpful, while "you feel like you've taken a wrong turn into a never-ending tunnel" is better. Of course, metaphors which are immediately understood by some people may not be so easily understood by others, so try to give a more detailed description of the feeling if other people express that you're probably saying more than they're hearing.
List: "Error! Look for a different way to do this" if you feel like: