Website Link Checking
There are several link checker products available on the Internet but by far the best one is the free WC3 Link Checker. The free link checker provides the most comprehensive checker of all links within your website available. It is fast, accurate and free. No gimics, no charges no bugs and certainly no spam. For an average site I would suggest leaving all of the checkboxes unchecked except the "Check linked documents recursively, recursion depth" which i would set to 10. What this means is, that the checker will follow links recursively from within your site down to a level of 10 sub levels. This should suffice for most website installations. Reports come out in a line by line format and you can see on any line what the error was and what the link was. Going back to the page where the bad link is reported is quick and easy for you then.
Why should you check your links? Well, Google and other search engines hate links that are broken. so if you are running a dynamically run website with internal links submitted by external users you should be checking your links often and fixing them as they crop up.
Now, go check your site for bad links.