Apps like Dreamweaver will check your links on the source machine, but you really need to check on the site in place on the server. This utility does a very good job, imo, with reports that are complete and easy to use. Responsive developer, too - a recent upgrade misplaced the ability to resize a column. The developer fixed it as soon as she heard about it.

The developer is in awe of a very full-featured Windoze app, but hers is simple to use, fast and very, very helpful. Compared to the Windoze app, this is four stars, but on the Mac, there's no competition, so I have to say it's worth five.