One important point is that there are different types of tests that can be done. Most often, if nothing is specified, they will do a fecal floatation. This uses a floatation solution of a certain concentration to float parasite eggs free. The portion of the solution containing the eggs is then put on a slide and examined under a microscope.
The other common type of test is a fecal smear, which is very much what it sounds like. This will pick up some things that the floatation won't and visa-versa. Thus, it isn't a bad idea to get your vet to do both -- especially if one isn't turning up anything and you have a strong reason to suspect parasitism.