try:

wget -nv -r http://gary.rwd.com/temp/test.html

It gives the following output (test.html has a link to ohgod.html that is missing):

[mschrag@gary mschrag]$ wget -nv -r http://gary.rwd.com/temp/test.html
12:36:47 URL:http://gary.rwd.com/temp/test.html [86/86] -> "gary.rwd.com/temp/test.html" [1]
http://gary.rwd.com/robots.txt:
12:36:47 ERROR 404: Not Found.
http://gary.rwd.com/ohgod.html:
12:36:47 ERROR 404: Not Found.

FINISHED --12:36:47--
Downloaded: 86 bytes in 1 files

EDIT: This is with GNU Wget 1.8.2