I use a small program called Xenu’s Link Sleuth.  Which looks at all blog posts, grabs the links I’ve mentioned, and then check that they still exist.  Or to put it more accurately:

Xenu’s Link Sleuth (TM) checks Web sites for broken links. Link verification is done on “normal” links, images, frames, plug-ins, backgrounds, local image maps, style sheets, scripts and java applets. It displays a continuously updated list of URLs which you can sort by different criteria. A report can be produced at any time.

Xenu screenshotFrom this month’s Xenu run, I’ve updated the following posts:

Update September 2009:
I also now use a WordPress “Link Checker” Plugin