When the game says you're hurt.
"Well my vision is fading in and out, blood-jelly is coating the edges of my screen, I think I hear beeping and the heavy breathing of my character, and I hear the sounds of broken bones when I walk. Nahhh I think he's at max health!"
The only game that did this right was Call of Cthulhu, after you open that one door you get injured. You wouldn't know this early on that you actually received a wound you'd need to heal. So when you're confronted by one of the side-characters they say that your head is bleeding, and hint that you can bleed out if your cut or wound is deep enough.
Then it tells you the quick key for healing and you're all good.