I didn't see anything different whether or not to permallink to a question.
"permalink" just means direct hyperlink, the basic building block of the web.
You can "permalink" to a question by clicking the question title (or right clicking the title and selecting "copy link"):
You can also right click the "link" menu item underneath a question and select "copy link". In that case, you'll get a personalized link (one with your user ID embedded in it). Pass this around to win coveted badges!
You can "permalink" to an answer by clicking the "link" menu item next to it (or right clicking the "link" menu item and selecting "copy link"). This ensures you get a link that works no matter what sorting is used, and no matter how many pages of answers a question has:
Occasionally, you might see a little reminder pop up:
This reminder also contains the personalized permalink.
The "link" under each answer is just that, a link directly to that answer. It was added as a convenience, so that if you wish to reference that answer in another answer or question, you could just right-click on it to copy the URL. Prior to this you had to look up that answer on the user's profile page and copy the link from there.