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A little known part of the W3C Validation service: The W3C Link Checker at: [validator.w3.org...]
Works OK, if a little obtuse at times.
I wouldn't use the online ones - I verify links on my site offline and jump online for any externals that need to be checked out.
Now its been brought to my attention that the links should actually be checked one by one, by human eyes, to make sure the content is OK - not suggesting everyone shoudl do it thought - I can relate to it being a pain in the.....and glad they have software for it
HomeSite and Dreamweaver both have internal link checking tools, but of course you must own the tools and have them configured precisely.
Personally, I use WebTrends Professional Suite (now WebTrends Analysis Suite, Standard Edition), which boasts a robust link checker that comes "free" with the meat of the software (log analysis), which is far from free...