grep -oh 'http://[^"]*' *.html ¦ sort ¦ uniq

The regex may need modifications if your HTML uses a single quote in HREF's instead of a double quote, but this is about the fastest way I know to get a complete list without banging on the website with some cumbersome tool.

If you have your html files in a bunch of subdirectories not to fear, recursion is here!

grep -ohr 'http://[^"]*' *.html ¦ sort ¦ uniq

Note that I added an "r" to the grep options so it will check all the files in subdirectories.

For a homework assignment, check to see if your links are valid using "curl" to visit each site and record the results. ;)