There is, of course, no SINGLE analytical method where you can just put in the sample and it'll tell you what it is (out of all possible chemicals). This isn't CSI lol...
But analytical chemistry IS coming closer...and there's a pile of options. You can look into GC×GC, GC-MS, high res MS-MS as DrCMS suggested, or use a combination of techniques as Qazzian suggested (just google those terms if you're not exactly sure what they are - or ask here, I suppose
If this is for an specific application, and you have an idea what the compound is, then some methods will be MUCH better than others. If this is just a general question then no...but chemistry research is getting there.