I do 2 quick tests to make sure that the site requesting a link isn’t banned by Google.
1) See if they have any visual PR showing
2) If there is no PR, then I use the Google Banned tool to make sure the site isn’t banned:
http://123promotion.co.uk/tools/googlebanned.php
As for checking for penalties, I’m not aware of any reliable tools for this. Haven’t looked in awhile, but most of the tools created consider casino sites to be bad neighborhoods “just because”.
What would be helpful is if there was a tool that checked the site’s links that you were linking too, in order to know if they are linking out to any banned sites.