I know on Yahoo you can type in link:www.url.com and see the links but it only goes to 1000 and it's hard to organize. I'm looking for a tool that I can download the results in .csv to Excel and that preferably gives more than 1000 links.
I use the trial version of SEO SpyGlass. Again you cant save the results and its show only 1000 backlinks in the trial version. Its very useful because it gives you a lot info about the links and has a lot options. If you want to buy it, the professional version cost $99. I think there is no free tool.
Open Site Explorer from SEOmoz will let you download around 200 in CSV format for free - and then you can pay for more if you want: http://www.opensiteexplorer.org/ The problem with any of these tools is that they're horrendously expensive to run. Believe me - my site stores a fraction of the data these guys do and even that is very expensive to run on a monthly basis.
You can use Yahoo site explorer, Google webmaster tools and BackLinkWatch.com to checkout your competitor backlinks. Also, you can download it in Yahoo site explorer.