If you're funny about having someone you don't know crawl your site 2 tools I mentioned earlier can be downloaded and run locally to check your site (or someone else's...)
Xenu Link Sleuth - Oldie but goodie, freeware. I don't use it much any more, but I think there's a "broken links" tab so you can isolate just the problem links.
Screaming Frog - An SEO pro favorite. The pro license is pricey but its like a Swiss knife for site audits. The free version is limited (number of pages? and some functionality is grayed out) but for smaller sites and just checking your links, it's fine.
Sucuri has a good online checker for malware, blacklists, injected code, etc. on a site.