Link Sleuth is reasonably good under most situation for a standard site. The problem starts if you have a large site and the pages are generated dynamically. With little network latency, it fires a rapid fire request for many pages at the same time - bringing the server to its knees resulting in a time out error. You can set a reasonable time limit in the Options though.

That is not all. If your page links are rewritten using mod_rewrite in apache, the end results are very convoluted when looking for broken links. A custom 404 solution with a log file might provide a better solution.