Is there a URL validator on .Net?

You can use the Uri.TryCreate to validate an URL:

public bool IsValidUri(string uri)
{
    Uri validatedUri;
    return Uri.TryCreate(uri, UriKind.RelativeOrAbsolute, out validatedUri);
}

The comments suggest that TryCreate just moves the exception handling one level down. However, I checked the source code and found that this is not the case. There is no try/catch inside TryCreate, it uses a custom parser which should not throw.

You can use Uri.IsWellFormedUriString, no need to create your own function for that:

public static bool IsWellFormedUriString(string uriString, uriKind uriKind);

Where uriKind can be:

UriKind.RelativeOrAbsolute 
UriKind.Absolute
UriKind.Relative

For more info see: http://msdn.microsoft.com/en-us/library/system.uri.iswellformeduristring.aspx

The answers provided thusfar do not check for a scheme, allowing all kinds of unwanted input, which could make you vulnerable for javascript injection (see the comment of TheCloudlessSky).

An URI is just a unique identification of a object. "C:\Test" is a valid URI.

In my project I used the following code:

/// <summary>
/// Validates a URL.
/// </summary>
/// <param name="url"></param>
/// <returns></returns>
private bool ValidateUrl(string url)
{
    Uri validatedUri;

    if (Uri.TryCreate(url, UriKind.Absolute, out Uri validatedUri)) //.NET URI validation.
    {
        //If true: validatedUri contains a valid Uri. Check for the scheme in addition.
        return (validatedUri.Scheme == Uri.UriSchemeHttp || validatedUri.Scheme == Uri.UriSchemeHttps);
    }
    return false;
}

Define which schemes you will allow and change the code accordingly.