There's no real way to get a list of every link pointing to you if you have a lot (over 1,000), because the engines only show 1,000 results.
There are a few different software programs that do that. optilink is one (if it's being sold anymore). They will query the engines for the links they report, then spider the sites to get anchor text and other bits of information.
They work pretty well, but again, you won't get every link simply because the engines don't always return all the links pointing to you.