LinkChecker is a free, GPL licensed website validator. LinkChecker checks links in web documents or full websites.
The OS X system I used to develop and generate the DMG installer is unfortunately no longer available to me. So unless some really nice people sponsor a Mac for development, there will be no more DMG installer releases.
Of course you can always install LinkChecker from source or generate the installer yourself (see install.txt). There are also MacPorts and Fink entries.
To check a URL like http://www.example.org/myhomepage/ it is enough to enter http://www.example.org/myhomepage/ in the GUI client or web interface, or execute linkchecker http://www.example.org/myhomepage/ on the command line.
This check will validate recursively all pages starting with http://www.example.org/myhomepage/. Additionally, all external links pointing outside of www.example.org will be checked but not recursed into.
If this software does not fit your requirements, you can check out other free linkcheckers.