Dead-links.com is tool that can check your website for invalid links and list these links. Dead-links reports both internal and external links.
This is a useful tool. It generates list of links with ‘404 not found’ error. The tool has the limit on number of URLs it will crawl, so it would probably not work for big websites. I also found that the tool generated few false errors, which was probably due to the fact that dead-links also reports error for links with high response time.