This ABX test interested me so I decided to take a quick test. It's not scientific by any means but I downloaded an ABX program from a site Hydrogen Audio suggested (http://www.kikeg.arrakis.es/winabx/) in order to see if I could tell the difference. I used a secure lossless rip of Queens of the Stone Age's "3's & 7's", a somewhat complex song with varying frequencies and converted the FLAC to a lossless wave, and a MP3 V0 version (highest quality MP3 variable bit rate, same as 320 CBR), and converted that to wave.
With one quick run through of the song, I took four ABX tests, I got 4/4 tests right with a 6.2% probability of getting them all right if I was purely guessing. There was an extremely subtle difference between the V0 and FLAC, but it's possible to hear. The highs were easy to distinguish as the MP3 codec cuts off at that range which was the biggest clue in differentiating the formats.
Factors to account for: Now I'm 17 so my hearing's still intact. I'm pretty sure age would degrade your auditory senses over time, especially with high frequencies. My equipment is actually plain. I'm using Vmoda Vibes, a pair of $60 mid-end earbuds, and I'm using my laptop's onboard audio, so equipment isn't that much of an obstacle to be able to tell the difference between lossless and lossy audio.
My two cents: It is possible to tell the difference, but unless doing side-by-side comparisons and listening for differences, it's nearly impossible to tell if an audio is lossless or lossy alone.