There's no magic rule. The best way is to draw a molecular orbital diagram and fill in the electrons according to Hund's rules. This will usually give you an idea of what kind of oribital the long electron is in. In most cases, it's going to be located in a bonding or antibonding orbital, which means its shared between more than one atom. In NO, for instance, the lone electron is in an antibonding pi orbital, so in reality it's not localized on either N or O. (Even then, realize that MO theory still makes assumptions; it is still an approximation and in strange situations, like radicals, it doesn't always give a prediction that makes sense.)
That said, in a formal charge or oxidation state formalism it is customary to assign electrons to specific atoms in a molecule as a means of bookkeeping. Obviously where you put the lone electron is going to affect the formal charge or oxidation state of the atom it's put on. In general when writing a Lewis structure and negative formal charge should be on a more electronegative element (and vice-versa), so look at the possible structures for the radical and place the lone electron appropriately. A structure with formal charges of zero is most preferable.
For NO, for example, if the lone electron is on nitrogen, then formal charges of both oxygen and nitrogen are zero. If the lone electron is on oxygen, the formal charge on oxygen is +1 and the formal charge on nitrogen is -1. Not only is this incorrect because nitrogen is the less electronegative element, and therefore should have the most positive formal charge, but also becauase you have a negative formal charge right next to a positive formal charge. Therefore having the electron on nitrogen is the appropriate answer. (And this is predicted by the MO diagram as well - the antibonding pi orbital has more nitrogen character than oxygen character.)
For ClO2, I think it's pretty obvious that the best place to put the lone electron (in a Lewis structure) is on the chlorine. For one thing, doing so means that fewer atoms disobey the octet rule and all formal charges are zero. Additionally, if the lone electron is placed on the oxygen, then we have the same situation with NO (positive formal charge next to a negative one).
That said, it's been postulated that ClO2 features a 2-center-3-electron bond so again with these things there are no hard and fast rules. Lewis structures and such are formulated for simple molecules. When you start getting into free radicals and such, it doesn't always make sense to use them.