ShowMyTransforms.cs

using UnityEngine;
using System.Collections;

[ExecuteInEditMode]
public class ShowMyTransforms : MonoBehaviour {

	void OnDrawGizmos(){
		Gizmos.color = Color.red;
		Gizmos.DrawLine (transform.position, transform.position + transform.right);

		Gizmos.color = Color.blue;
		Gizmos.DrawLine (transform.position, transform.position + transform.forward);

		Gizmos.color = Color.green;
		Gizmos.DrawLine (transform.position, transform.position + transform.up);
	}
}

I wrote a variant of this useful gizmo, that displays the axis only when the game object is selected; it displays also small spheres at the origin and end of the right/forward/up axis.