"The SharePoint Status Report extracts hyperlinks directly from the SharePoint system and then checks the status of each hyperlink. The hyperlinks are extracted from all Portal Areas, Links Lists and Content Editor Web Parts, located in the Portal and Team Sites. The link status is then displayed in a detailed report that allows you to resolve and manage any issues that have been detected.
Displayed below is a typical SharePoint Status Report and you can see from this report that the status of the links is obvious. As you find broken links then you can use the “Area” and “Link Edit” columns to update or delete the link."
More information: http://james.milne.com/SPStatus/default.htm
Download v1.1: http://james.milne.com/SPStatus/download/