Cubic Zirconia (CZ) can easily be confused with diamonds. It's possible that diamond you're considering buying from an online auction or picking up from a "friend" just might be a CZ. Jewelers usually separate CZs from diamonds by using a relative inexpensive tool called a thermal probe. However, it's unlikely the average retail consumer will want to spend a few hundred dollars to buy one of these probes just to identify one stone. For the person on the street it’s helpful to know the a few of the key clues a jeweler might use to identify a CZ.
First, CZ has a much higher specific gravity than diamond: 5.80 vs. 3.52. This means a loose CZ will feel unusually heavy.
Second, with magnification polished CZs will show some obvious differences. The faceting is rarely as precise as with diamond, and the girdle will likely have a rough polished appearance, unlike the grainy or faceted girdles you’ll see on a diamond.
Third, when viewed with a small light from the backside, CZ will show a monochromatic orange flash on the pavilion or pointed side; diamonds usually shows a mix of colors.
Forth, when a diamond is placed table side down on a lined piece of paper, the printed line which is directly underneath of the stone is not visible because diamonds will USUALLY reflect the line's image away from the viewer. Not so with a CZ.
These tests may not be definitive, and if you are in doubt the stones true identity, it's best consult with you local jeweler just to make sure.
This information is largely taken from the GIA's Diamond ID and Grading courses.