1. Find broken links
2. Server errors
3. Pages Not Found aka 404
4. Analyze site's information architecture
5. Find inbound links
6. Find external links
7. Find any 302 redirects on your site page
8. Find images missing alternative text
9. Identify your site internal duplicate titles
10.Find your deepest-buried pages
And many more.
You can learn about this free SEO tool in more details from:
http://www.seomoz.org/blog/xenu-link-sleuth-more-than-just-a-broken-links-finder
http://www.searchenginejournal.com/7-things-you-can-do-with-xenu-link-sleuth/7870/