If you are designing a site beware of broken links. These have a few bad consequences. One is that your visitor will click on a link and get an error message. The other major consequence is that it will hurt your ranking on search engines since their spiders and robots will also get an error.
I do get this pretty often. This is due to my poor typing skills. My most common error is simply forgetting to type .html at the end of the file name. A good idea is to have someone else go through your site and quickly check the links for you.
Another cause of this is linking to other people's sites. Perhaps their site is down or simply disappears. Avoid external links to transient sites.
Another cause is linking to specific pages on other sites. It is safer to link to their home page. If they redesign their site, then they may move that specific page to a different directory.