The only thing that comes to mind that could be bad about posting a link on a high-traffic site like SO is the ensuing stream of visitors causing traffic overload, congestion and traffic bills on the linked site's end (that may not be equipped to deal with those kinds of traffic at all).

However, different from a link posted on, say, Slashdot, the effect is minuscule on SO. While SO itself has huge amounts of traffic, a single question rarely gets more than a few hundred views. Only a percentage of those people then goes on to follow the link. The amount of traffic resulting from that should be handleable by even the tiniest of web servers.