I recently setup again some of my websites and I needed to have some check whether any link is broken or not. After a little search I found two useful online tools and one is from W3C which analyze your website and after crawling they provide you a report and list of broken links found at website or blog.
http://validator.w3.org/checklink
http://www.dead-links.com
Broken Link Checker WP Plugin
If you have got a blog and want to check any broken links then you might try 404 notifier plugin which emails you at your specified email address about every single broken link which was hit by visitor and got 404.
From SEO point of view, if your website has 404 URLs then it means you will loose visitors and traffic towards your website will decrease. Search engines also take it badly. It is highly recommended to fix 404 or Broken links at websites.
