Having found 36 broken links on my blog — Broken Link Checker has just become my new favorite WordPress plugin. It also checks for missing images and will notify you through your blog's dashboard (and the Manage -> Broken Links panel) if any are found.
Here's a list of Broken Link Checker's features:
* Checks your posts (and pages) in the background.
* Detects links that don't work and missing images.
* Notifies you on the Dashboard if any are found.
* Makes broken links display differently in posts (optional).
* Link checking intervals can be configured, the default is set to 72 hours.
* New/modified posts are checked ASAP.
* You can unlink or edit broken links in the *Manage -> Broken Links* tab.
There are several ways to manage each broken link notification. “Details” shows more info about why the link is considered “broken”. You can “Edit Post” or “Discard” to remove the message about a broken link, but not the link itself (so it will show up again later unless you fix it). Using “Unlink” removes the link from the post. If references to missing images are found, they will be listed along with the links, with “[image]” in place of link text.
Very cool plugin — don't know why I didn't look for it sooner. You can download Broken Link Checker right now though for free from WordPress.