I really like to use domain-pop.com and linkdiagnosis.com backlinkwatch i do not like that one little popup annoys the crap out of me. and i used to also find that there tool quits working alot and will be down for days sometimes.
if you want to it manually in top 3 SE's for google - link:yoursite.com for bing - inbody:yoursite.com for yahoo - link:yoursite.com (it redirects you to yahoo site explorer)
Google doesn't show much Webmaster still is the best place to get more information about own links. Competitor links, hmmmmm I use seobook.
You can also check the backlinks with DoFollow and NoFollow indicator from using this free Backlink Checker tool.
Some pretty good tools above but i prefer majesticseo.com and seomoz's Open Site Explorer is mint as well.
You can also use for check back links, siteexplorer.search.yahoo.com. here you can find lot of back links.