I had an email forwarded to me recently pointing out an add-on for Firefox called Link Evaluator. I installed it and was really pleased with it. It allows you to do a quick spot-check of all of the links on any given page to check for broken links. You just navigate to a page, right-click on the body, and select "Evaluate Links." You'll then see every link on the page turn either green (good) or red (broken). That's it. Simple concept, useful tool.
Obviously, this wouldn't optimal for large-scale link checking, but for a few pages here and there, it is a nice addition to the toolbox.