When your Web site's links don't work, you're setting yourself (and your adoring public) up for frustration. Enter the free AnalogX LinkExaminer. It does a great job of checking every single link on an entire Web site or individual page, and alerting you to dead links, and more as well.
It lists every single link; each link that works is colored green, while those that are broken are colored pink. Simply scan the list, and you'll find links that need fixing. The program can also export reports to several formats, including CSV and Google-compatible XML sitemaps.
LinkExaminer goes well beyond helping you find broken links, though. It also gives you a great deal of information about each link, including whether the link is relative, whether the link is an image, the last time the link was modified, and so on. Even better, it also offers basic search engine optimization advice, and checks to make sure that the pages linked to include title, keywords, description, and so on.
Given that AnalogX LinkExaminer is free, if you've got a Web site to maintain, you'll certainly want to download it.