If you have a lot of time on your hands and get excited by tests for unit roots, do have a look at contributions the thread on random walks at Tamino's blog and the longer (much longer!) subsequent thread at Bart Vergheggen's.

VS, for that is his nom-de-blog, reckons that the temperature records are a random walk (or something like one) which means that many standard statistical approaches to measuring trends, including all the ones currently used in climatology, are invalid.

The thread is interesting on another level too, with several days of calm debate at Bart's site rudely interrupted by an invasion of trolls from Tamino's.

Statistics wasn't supposed to be this much fun.