For sun like stars, most main sequence stars, or objects already in place, like planetary nebulae, we use stellar evolution models. Tools like the
Hertzsprung-Russell diagram are really important for that. But a lot of things in the sky can be seen to change.
Variable stars, the sudden appearance of
McNeil's Nebula, and the ability to see objects like
planetary nebulae in various stages of development give us plenty of opportunities to study how things develop over time (i.e., the
Egg Nebula is a "proto-planetary nebula", meaning it has not quitge yet made it to planetary nebula status, but it's on the way).