Take a look at this awesome link checker called Xenu’s Link Sleuth.  I tried to research why the guy called it Xenu hoping to find some comedic Scientology reference, but it seems like he just likes the name.  Anyway, you bootstrap the link checker with a single URL, and Xenu looks at every internal and external link in that starting URL.  For each internal link, Xenu parses HTML to look for other internal links and repeats the process on those other internal links.  Pretty cool, but it’s Windows only.  Here are some screens: