Yes, every state will have a website that you can check. Just search for your state's department of insurance website and find the link where you can verify if an agent is licensed in that state and what license(s) he/she holds. For example here is the link for Texas:
http://www.texasonline.state.tx.us/NASApp/tdi/TdiARManager I suppose the person could have a fake ID though, you may want to be very cautious anyway.