i would suggest a site www.searchenginereports.net you can check your site with many keywords at a time
I use a tool called Rank Checker (is an add-on for Firefox) from seobook.com, you have to register to use it but is free, you can save different keywords and it will tell you the position for Google, Yahoo and Bing. Is a great tool.
All these sites are having some limitations. If theses sites use API, it can NOT check the positions beyond some limited value, and if it uses scrapping ,the sites will add lot of delay to avoid getting blocked by Google. So, the easy way is having your own script for doing it. If you are interested, you can refer this Thread.