This may seem an obvious point, but it is a trap that is easy to fall into.

It is all very well being thorough when developing your pages, about checking links. But the web is a far from static place, and it is easy for errors to creep through.  This applies both to external and internal links.

For external links, a program such as Xenu's link sleuth is recommended.

For internal links the control panel on your site, should have an error log facility. Check this log regularly, you may be shocked by what you find.