Links are what make the World Wide Web a web--but a broken link catches no flies, or something like that. Manually checking links on any site larger than a single page can be tedious at best, and is certainly error-prone. Automatic link checking is the way to go, and when there's a free tool with almost a decade of development behind it, it's a worthy addition to any Web developer's arsenal. Xenu's Link Sleuth is such a program.
Xenu's is a powerful, free, link-checking tool. Merely give it a base URL and let it go--it will return a long, long, list of links, broken or not, in the target site. It can also find things you might not think of as "links"--such as references to graphics embedded in Web pages, one of the banes of any Web developer. After all, what says "Shoddy 1990s-era site" better than a page full of broken graphic links? Xenu's Link Sleuth produces an easy-to-read report showing the status of each and every link, and you can double-click any entry to launch that link in your browser. You can also bring up a "properties" dialog to get more information on a link, including which other pages on the site link back to it.
Link Sleuth can be hard on your Web server, as it will send requests for pages fast and furious. This can cause some links to be flagged as broken for timeout errors when, in fact, they are not. It is possible to tweak Xenu's to use longer values for timeout or to send fewer simultaneous requests for pages. The developer keeps a fairly extensive FAQ, which addresses some other common issues and concerns.
Although the primary purpose of Xenu's is to check your own links, of course there's nothing which prevents it being run against sites you do not own or operate. While, obviously, you can't fix broken links on other people's sites, this is a good way to get an overview of a site. (It could also be used to see if there are links to your content on the site, for example.)
Free, fast, and functional--it's very hard to beat that combination. Xenu's Link Sleuth is an excellent addition to any Web developer's toolkit.