I’ve had that happen to me, too. Sometimes I contact the webmaster, and other times I just take down the link. It depends on the value of the link. If my link was on a PR4 or PR5 page, you can bet that I’ll be sending an email. 
Sometimes, if they put your link on dynamically generated links page, it can be pushed off the original page… i.e. it can be pushed to Page 2, or 3, etc. I don’t like this type of setup; I prefer my links to remain on the same page, permanently.