Writing an URL like
http://fr.wikipedia.org/wiki/Allégorie_de_la_caverne in a post will break the hyperlink at the
é, which is technically correct (if not entirely user-friendly). See:
If it's pasted with the hyperlink formatting button, the
é is percent-encoded as
%C3%A9, as it should to make the URL RFC 1738-compliant. RFC 1738 requires that all characters be of a subset of US-ASCII and that the rest be percent-encoded.
However, when you paste the same URL in a comment, it's entirely auto-hyperlinked and the
é is encoded as the
é. Since entities are substituted at parse-time, it results in an URL that contains raw non-ASCII characters, which does not comply with RFC 1738. See the source for animuson's comment below (bear in mind that entities are decoded when you look at the DOM, so you need to check the textual source to see the entity).
This is admittedly not a big issue, but as someone said before, it's better to be strict in what you emit and loose in what you accept.