Tools to check broken links for websites.
This tool is great for broken link checking: http://www.brokenlinkcheck.com/ . It check all your site automatically.
W3C also has a tool to check a single page: http://validator.w3.org/checklink
There is also an open-source tool LinkChecker: http://wummel.github.io/linkchecker/
If you are using WordPress, a plugin is also available: http://wordpress.org/plugins/broken-link-checker/