Here is a very useful tool which I had meant to use for a long time and also had meant to tell you about it, but keep procrastinating. Well, finally here it is, the Xenu's Link Sleuth which you can download here.
Most of you probably already knows that search engines don't like dead links (Definition: A dead link (also called a broken link or dangling link) is a link on the World Wide Web that points to a web page or server that is permanently unavailable, usually 404). So if you are concerned about how search engines rank your blog, you should take the trouble to search for dead links in your blog, then correct them.
The best free tool for this is the Xenu's Link Sleuth. You can read more about it at Wikipedia: Xenu's Link Sleuth. As for me, I strongly recommend Xenu's Link Sleuth especially after reading what Wikipedia and others have written about it and it's author.
Xenu's Link Sleuth FAQ
Rotten Links Hamper Learning
Broken Links: Just How Rapidly Do Science Education Hyperlinks Go Extinct?
Digital libraries and World Wide Web sites and page persistence
Xenu's Link Sleuth at Amazon