Proof that X/E[X] is about 1?

I know it's reasonable that $\frac{X}{E[X]}\approx 1$ , but how can I show it? I thought about Chebyshev's inequality but didn't get far.

Thanks.

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What do you mean by $\approx$ here? Certainly its expectation is 1 (provided $E[X] \ne 0$), which is a consequence of linearity. – Clive Newstead Nov 15 '12 at 9:48
It need not be "about 1"; in fact $X/E[X]$ can be arbitrarily far from $1$. What exactly do you mean? – ShreevatsaR Nov 15 '12 at 9:52

As ShreevatsaR already wrote: $\frac{X}{\mathbb{E}X}$ can be arbritarily large. What you are maybe thinking of is the Strong Law of Large Numbers: Let $X_n \in L^1$ ($n \in \mathbb{N}$) identically distributed and independent random variables, then
$$\frac{\sum_{i=1}^n X_i}{n} \to \mathbb{E}X_1 \quad \text{a.s.}$$
(Or, rewriting the SLoLN: $\frac{\sum_{i=1}^n X_i}{E \left(\sum_{i=1}^n X_i\right)} \to 1 \quad \text{a.s.}$) – TMM Nov 15 '12 at 10:20