Broken Link Checker plugin by whiteshadow will monitor your blog looking for broken links and let you know if any are found. Current version 0.9.7.1. Requires WordPress Version: 3.0 or higher. Compatible up to: 3.1-alpha
Monitors links in your posts, pages, comments, the blogroll, and custom fields (optional).
Detects links that don’t work, missing images and redirects.
Notifies you either via the Dashboard or by email.
Makes broken links display differently in posts (optional).
Prevents search engines from following broken links (optional).
You can search and filter links by URL, anchor text and so on.
Links can be edited directly from the plugin’s page, without manually updating each post.
Download and info: http://wordpress.org/extend/plugins/broken-link-checker/