Xenu is the only app you will need if all you want is to check links. As a bonus, you can also use it to create a site map by fiddling around in the options section. Best of all, it's free.
7:26 am on Feb 1, 2006 (gmt 0)
Just testing Xenu, 45% done, seams to be a very powerful program!
4:53 pm on Feb 2, 2006 (gmt 0)
On the topic of link checking you may want to consider going back and checking periodically by hand. I just had to remove alot of links that were to domains who forgot to renew their registration and ended up getting bought up by domain brokers.(squatters)