This is speaking for HP servers, but I imagine other manufacturers will do a similar sort of thing.
When configured, the server can expose its thermal sensor information using SNMP. Amongst other things it will expose CPU temperatures, general ambient temperature, along with the thermal shutdown thresholds for each sensor. You can monitor and graph the current temperature and thermal shutdown values and set up alerts with your favourite monitoring software. Personally I use Nagios and Cacti to do this, but any half-decent monitoring software will allow you to do this with relative ease.
Additionally, the HP Insight Agents install services into Windows which can send you emails when all manner of events happen. This includes thermal alerts, but also things like dead hard disks, PSU's, fans so it's well worth spending 5 minutes configuring that (seriously, it's literally enter an email server, alert recipients and events to alert each recipient of and you're done).