Yes, there is a way. Note, of course, that this feature is only available from an actual Kindle device, not from a reading app on a computer, phone or tablet not sold by Amazon.
(Fwiw: I have a Kindle2, so your screen may differ from mine.)
Take the action to "Shop in Kindle Store" on your device. (On the K2, that is located in the menu that appears when you press the "menu" button.)
Under "Browse / Books" choose, "see all categories ..."
The last option on the list is "Kindle Owners' Lending Library"
Currently 494,389 titles are offered for lending (only one per month); a number of filters are available to reduce this deluge, which you can choose by selecting "View Subcategories within Owners' Lending Library".
If you search or otherwise leave the confines of the Lending Library listings, any book lacking a "Prime" designation in the listings shown on your Kindle is not available for lending.
Btw, once you've borrowed a book, you can read it in any Kindle reading app, not just the device you used when you borrowed it.