After reading this thread I saw that I might need this also sometimes. So here is the result:
The internal link checker plugin
It adds a meta box at your post edit screens that shows links to all posts who link internally to the currently displayed post. If you want to alter the output (add something for eg.), please use the provided filter. An example of how to use the filter can be found at the readme file.
The Plugin is GPL2 licensed. Maybe I’ll also put it in the official repo to allow installation from inside your self hosted blog. Edit: Done.
…or at…
…or in our own