By far the most useful utility we have found to check your links is Xenu's Link Sleuth..

Xenu's Link Sleuth (TM) checks Web sites for broken links. Link verification is done on "normal" links, images, frames, plug-ins, backgrounds, local image maps, style sheets, scripts and java applets. It displays a continously updated list of URLs which you can sort by different criteria. A report can be produced at any time.

I should mention that the creator of this software has sprinkled his website with a few anti-Scientology links, so if you are that way inclined you might prefer to skip it.

We run link sleuth over a site to find any dead links, and also to locate duplicate pages, and even pages that are missing page titles. It is very fast, particularly if like all good developers you are working on a local test version of your website.