I thought it was pretty simple: a power's an attack if it says Attack in the top right. Apparently, it's not that simple. I keep hearing there are other conditions a power must fulfil to count specifically as an attack. For one example: in this question.
This is mechanically important, since some game features, like feats, single out attacks from other powers.
The Rules Compendium just offers this to say on p308, which sort of clarifies:
An attack roll and its effects, including any damage rolls. The word “attack” is sometimes used as shorthand for “attack power.” Some attack powers include multiple attacks, and some powers, such as magic missile, are designated as attacks yet lack attack rolls (using such a power counts as making an attack if the power has a target).
So when is a power an attack?