This is a seemingly simple question. It's also the question I'm least able to answer.
For me, I "knew" I didn't want to be an academic. I put quotes there because, with the benefit of hindsight, I probably would have been just fine with a life in academia.
There are a couple things you can do to figure out what's right for you:
If you've got at least one full summer before the job market, do an internship. Although "industry" jobs are highly varied (by, you know, industry - and company) you will experience your own preferences for dealing with many of the common features of industry. These include, but are not limited to:
Working with non-economists
Writing for / presenting to a business (less technical) audience
Engineering practices (code reviews, Agile, etc.)
Structured working hours / work schedule
Meetings - you'll have these in any job, but the amount can vary a lot by position.
Call people who work in those jobs and talk to them. This is actually a great way to network as well.
Like most economists, I hate self reported surveys - you can't trust them! But the following websites might be worth checking out.
You may hear a couple things about "industry". Again, the sarcastic quotes show that there's enough heterogeneity across firms that generalizations are suspect. Here are some myths you hear:
Myth: Industry is very deadline driven. Truth: maybe. You do have deadlines, particularly in litigation consulting. On the other hand, working in tech, I see some very slow moving teams without hard deadlines - which is sometimes the right thing for the project at hand.
Myth: Industry has a lot more teamwork. Truth: maybe. Academia seems like the ultimate low bar for teamwork, but even there, there's plenty of collaboration if you're running experiments, working with co-authors, etc. Your early jobs out of graduate school could be highly technical and only require minimal interaction with others - again, depending on your industry, company, and team.
Myth: You don't get freedom to choose your work in industry. Truth: usually not at first. But as you build up a reputation within a company you increase your ability to select your assignments.
All of this is to say that you have a lot to discover for yourself. Again, do an internship if you can. A summer is not a trivial investment, but you will sharpen your technical skills, increase your marketability, and most importantly, get some meaningful data on the right career path for you.