How can I monitor the effectiveness of my Internet connection?

I have recently had a cable modem installed. I’ve had problems with losing connections when trying to listen to streaming radio (BBC) and when connected to work over a VPN. I don’t know whether the problems are caused by my Internet connection or by the remote servers themselves. Can any dopers recommend tools (preferably free) that would monitor my Internet connection so I can see if it is dropping messages?

The best way to test if it’s your connection or the servers is to open up another webpage and see if it loads. I guess that probably wouldn’t work for the VPN at work though.