Dreamweaver (tool I use) and Frontpage both have built in link checkers. There are also several services online that will do it for you if you submit the page, and I -think- FireFox does some checking. (Might have to set up the links as a seperate bookmark heading, etc).
Right now, I'm seeing several networks being hit with a huge denial of services attack, so some links will time out. I usually do a couple checks over a period of time and drop the consistantly dead ones.