Well, basically, you can use 2 information:
1. retention
2. spectrum
1. Retention time (under a defined conditions) of a given compounds should be constant. However, it is not sufficient for confirmation, since a lot of compounds can have identical retention time (I remember one of my old methods, having benzene, cyclohexane, chloroform and some heptane isomer eluting almost simultaneously). By running analysis on a different columns (different sorbents), you can get several retention times, which are together more reliable, though I wouldn't trust them too much.
Since retention times vary if condition change, even with the same column, it is more useful to use retention index (as grzesiek mentioned), which is common practice for essential oils but they are universally applicable.
2. Spectrum - if you have some spectrometric detector (i.e. MS or IR), you can get some structural information about your molecule. By comparison with spectral libraries, or by manual spectrum interpretation, you can get some clues about compound identity (or, at least, some functional groups and/or molecular weight). Again, you have to keep in mind, the identification is still not 100 % reliable! MS, for example, cannot distinguish between enantiomers, usually cannot distinguish other stereoisomers, and often not even positional isomers. Sometimes, even compounds with totally different structure can give identical spectra, due to rearrangement into a common ion in the spectrometer.
The best practice, which gives the most reliable results (but, still, I would not dare to claim 100 % reliable), is to use at least 2 orthogonal techniques/information (basically, techniques not using the same principle - for example, both retention and MS data). So, for example, in essential oil analysis, you look for a compound that has both Kovats index and mass spectrum similar to your unknown peak.
Sometimes, you can also try to derivatize your compound and rerun the analysis, to obtain more information.