Though there is no official certification for link validation, it is just as important as the previously discussed elements for a proper user experience. That is, you should not have orphan references to web pages, images, etc. which do not exist, nor to sections of your current page which do not exist. The cause may be a simple typing error, or an incorrect path, or an obsolete web reference. The net result is the same--it results in a failure of your intended user experience in some fashion. Now this failure may be completely innocuous (e.g. an image that you use as a spacer with a one-pixel size will not be noticed if it is missing--in some browsers) or it may be catastrophic (the ubiquitous 404 "page not found" error).
The W3C again offers a good online link validator for a single page; drag this button -- Check Links -- onto your IE toolbar to give one-click link checking. For checking an entire site, there are several good tools available. I use Xenu because it is fast and it generates a nice report, including a (textual) site map.
Finally, for lots of other choices take a look at Electronic Software Publishing's (somewhat outdated) list here. I certainly admire this company's panache -- they are so confident of the quality of their own product LinkScan, that they provide an extensive list of commercial and free packages, covering a variety of platforms, and invite you to compare.