Light has a wave particle duality, how do we know? I've been told my whole life that light is either a wave or a particle.  When it's traveling through space, it's a wave.  When it hits a wall, or a photo-sensitive chemical strip or something similar, it's a particle.  
However, upon looking back all of the examples I've seen I can only recall instances in which we observe light as a particle.  Are there in fact ways we can measure it as a wave?
 A: 
When it's traveling through space, it's a wave. When it hits a wall, or a photo-sensitive chemical strip or something similar, it's a particle.

No, this is wrong. It's not sometimes a particle and sometimes a wave. It's always a particle and always a wave. Here is an example of an experiment whose results can't be explained by a pure wave model or a pure particle model.

Are there in fact ways we can measure it as a wave?

The classic evidence is the existence of diffraction.
A: The classic experiment to demonstrate this is the double-slit experiment. Take an opaque material, and cut in it two small slits. Shine on these slits some coherent light, such as that from a laser. On the side of the slits opposite the light source, place a light detector.
Firstly, you will observe diffraction and interference:

This demonstrates that light behaves like a wave. It does not behave like bullets -- if we fired bullets at these slits we would observe neither diffraction or interference.
You might notice that really we need just one slit to demonstrate that light is a wave: we will still see diffraction, which is sufficient to demonstrate wave-ness. However, the double slits also allows us to demonstrate that light is quantized, which is what is meant by the "particle" part of the duality. That is, light comes in discrete packets that can't be divided.
How do we know? Well, if we take this same apparatus, but make the laser very dim (by passing through absorptive materials, perhaps), and if we have a very sensitive light detector, we start to see discrete spots, as in (a):

We might make the laser so dim that only one photon strikes the detector per minute. Now here's the interesting thing: if you leave this experiment running for a long time, eventually the pattern recorded by the individual photons resembles the interference pattern from the wave above. This, despite that photons are traveling from the laser, to the detector one at a time!
Thus: light is a particle (in that it is quantized), and a wave (in that it can interfere). Always both: never just one.
Images from Wikipedia article: double-slit experiment
A: Listen from the Feynman:  

I want to emphasize that light comes in this form-particles. It is very important to know that light behaves like particles, especially for those of you who have gone to school, where you were probably told something about light behaving like waves. I'm telling you the way it does behave-like particles.  
You might say that it's just the photomultiplier that detects light as particles, but no, every instrument that has been designed to be sensitive enough to detect weak light has always ended up discovering the same thing: light is made of particles.$_1$  

Ofcourse, diffraction and interference are explained by wave nature of light. But there is no way (instrument) to measure (detect) it as a wave.

Credits:$_1$ QED-The Strange Theory of Light and Matter.  
