Apple - How to monitor and control thermal CPU throttling in OS X?

To monitor throttling, you may run:

pmset -g thermlog

in terminal and watch output:

If CPU_Speed_Limit is less than 100 at some moments, then it means CPU is throttled.

The official Intel Power Gadget has a Mac version.

To add to Vebjorn Ljosa's answer, if you have homebrew installed you can install the Intel Power Gadget with the following command:

brew cask install intel-power-gadget

Once installed, the app (in your Applications directory) will show you various stats.

From my limited testing, it appears that the red "REQ" line shows when the system is intentionally reducing speed/power.