Links are good. They allow one to easily extend his knowledge on a topic. Many users constantly links their answers to outer sources, making their answer/question much more clear to any readers.
Two trivial examples:
I believe an answer that suggests a usage of a certain java class is better, if it is linked to the javadocs of this class.
A user suggests an algorithm as a solution, and uses an existing algorithm for it. Linking to the wikipedia page of this algorithm [or to an article describing it], makes the answer, again, better in my opinion.
- Also, a user that links to an answer, is more likely to use the correct terminology, as he had just looked for the term he's using and linked to it, something that can be very important where many users are not native English speakers.
Suggestion: advocate the use of links, by adding a badge/badges for a certain amount of links provided by a user in answers/questions.
Note: This is different from the announcer badges family, since it refers to external sources as well.
p.s. this also might increase the rating of SO as a hub in HITS ranking algorithm, without harming its score as an authority. :)
EDIT: As mentioned in answers, an automatic adovation of links might prove harmful, I'll modify my suggestion: a badge for "+X votes on answers/questions with links", it might make the evaluation of links more affected by community and not automatic.