In a .NET application you can set IIS to pass all requests to ASP.NET and then in your global error handler you can catch and log 404 errors. This is something you'd do in addition to spidering your site to check for internal missing links. Doing this can help find broken links from OTHER sites and you can then fix them with 301 redirects to the correct page.
To help test your site internally there's also the Microsoft SEO toolkit.
Of course the best technique is to avoid the problem at compile time! In ASP.NET you can get close to this by requiring that all links be generated from static methods on each page so there's only ever one location where any given URL is generated. e.g. http://www.codeproject.com/KB/aspnet/StronglyTypedPages.aspx
If you want a complete C# crawler, there's one here:- http://blog.abodit.com/2010/03/a-simple-web-crawler-in-c-using-htmlagilitypack/
