There are tonnes of different ones on the market, some that promise to make your whites whiter and floss your cat, but in the end you just want a simple program that will check your site for broken links, maybe broken code too if you're so interested.

...Xenu's doesn't confuse you with a list of unimportant non-broken URLs, and it doesn't take a ten-page wizard interface to set up each project, instead you can simply paste in the starting point and let it go to town, selecting extra options if you specifically need to.