Lars Ingebrigtsen <larsi@gnus.org> writes:

> Hong Xu <hong@topbug.net> writes:
>
>> It would be a nice feature if reftex can highlight all missing
>> references/citations in the buffer. For example, references/citations
>> such as \ref{nonexistence} or \cite{nonexistence} point to nonexistent
>> entries, which should be highlighted as errors.
>
> I've added bug-auctex to the CCs; perhaps they have some comments here.

Such a functionality is provided by AUCTeX (I can't tell about Emacs
stock LaTeX mode).  Take for example this file:

--8<---------------cut here---------------start------------->8---
\documentclass{article}
\usepackage{natbib}

\begin{document}

Hit \verb|C-c C-t C-w| to set \verb|TeX-debug-warnings| to \verb|t|.
Run LaTeX on the file with \verb|C-c C-c RET|
Choose from the menu \verb|Command->Error Overview|
\cite{lamp1:94}
\cite{mitt1:97}

\begin{thebibliography}{}
\bibitem[Mittelbach et al.(1997)]{mitt:97} Goossens, Michel; Rahtz,
  Sebastian; Mittelbach, Frank: The LaTeX Graphics Companion --
  Illustrating documents with TeX and PostScript.  Addison-Wesley.
  1997.

\bibitem[Lamport(1994)]{lamp:94} Lamport, Leslie: LaTeX -- A Document
  Preparation System: User's Guide and Reference Manual, Second
  Edition.  Pearson/Prentice Hall.  1994.
\end{thebibliography}

\end{document}

%%% Local Variables:
%%% mode: latex
%%% TeX-master: t
%%% End:
--8<---------------cut here---------------end--------------->8---

If you follow the steps mentioned above, you get this: