Brad DeLong cites an interesting essay on link rot, and offers this advice:
The first lesson is that linkrot is incredibly rapid. The second lesson is that it thus becomes critically important not just to link but to quote--and to quote extensively. The third lesson is that not even fear, surprise, and ruthless efficiency can defeat linkrot. If you want your links to be worth anything in two, three, or five years, download *all* the pages you're linking to to your hard disk.
I've been writing this blog for less than a year, and I've already noticed link rot, especially among the news sources I cite. Often, as the essay states, the content still exists but is much more difficult to reach. Earlier I decided against downloading everything--although I do save much--but I'm reconsidering.
Update: The Poor Man has some more cogent thoughts on the subject.