115VAC Fan fail circuit
Depends, there are many ways, each good in is own way.

I'd probably prefer a differential pressure detection or airflow detection scheme rather than looking at the fan blades or fan motor current - both of which are valid schemes in their own way.

My preference is to look as far down the chain towards "why do I care if the fan is running" as possible and measure THAT parameter, rather than one further up the chain. So I want to see air moving, and I don't care why it moves, as long as it moves enough, and in the right direction. 

As it happens, simple (KISS is my mantra) paddle type airflow switches are dirt common. 

 (image from web, not associated with nor endorsing source of image which was www.dwyer-inst.com)

You can either find one that will light your light directly, or one that will allow a relay to light your light.

If KISS is not your mantra there are a multitude of methods to overcomplicate it and get a micro-controller involved, such as building a hot wire anemometer or a spinning anemometer. In a few situations those will actually be better, not just more complex. In most situations, they will just be more complex.