Apps like Dreamweaver will check your links on the source machine, but you really need to check on the site in place on the server. This utility does a very good job, imo, with reports that are complete and easy to use. Responsive developer, too - a recent upgrade misplaced the ability to resize a column. The developer fixed it as soon as she heard about it.

The developer notes that there is a very full-featured link checker available for Windoze. She rates that more highly than her own effort, but wanted something on the Mac side. If she hadn't noted the existence of the PC link checker, I'd have rated Integrity as a five-star but I'll defer to her opinion and award Integrity four stars (with a bullet).