The reason I am bring this up is not long ago I was guilty of this. It was late and all I was concerned about was getting my site up and not paying attention to the links. Well the next morning I found out most of my links were not link correctly. It only takes a couple of minutes and can save you money in the long run.
One of my favorites programs I use to test my links is SitemapDoc – Google Sitemap Generator and Editor
This program will not only check your links it will also create a Google sitemap (duh). Its free, simple and I recommend using it every time you get a new site up and running.
Do you have any recommended programs to use?