Just saw this posted in another forum, tried it, and it's pretty cool !
Xenu link checker.
Run it, give it a url (your blog I guess) and it'll verify all your links.
If you want, it will check external links too - be careful ! I do stats for 3 newsgroups which I host, and each of these several stats pages has over 100 links.
You will need to use the Task Manager to close the program if you want it shut before it has checked everything.
Another point ... if you have directories which are to all intents and purposes 'hidden' but are linked somehow, this program will show them up. After all, you can run this on any site, not just your own.
Anyhow, it's useful.