The only links I really ever post are jsfiddle mo shiznle, jquery, mozdev, w3schools (yes, it can be a decent resource at times), w3, etc...
I think it would be in poor taste to only allow links to pre-approved websites. For example, I believe youtube only lets you link to other youtube pages and possibly google plus accounts now. As you can probably tell, the quality of the comments on youtube ain't so great. Also, wikipedia, I believe is mainly just links to other wikipedia pages, except you can have some external links at the bottom of the page.
Stack Exchange does a great job at empowering it's members in a number of ways. For example, they give all their users the chance/ability to edit any posts, vote to close posts, leave comments, leave links to any website you want, etc, etc.
If SE was to only allow certain websites to be linked to, it would go against their model of empowering their members. Also, SE has like 100+ different sites. That range from programming to workplace to skeptics. It simply would require a lot of effort and time to big brother all the links that get posted on the sites.
If you don't like a link someone posted, you are free to leave a comment with a better link. If you don't want to go to the link someone provided, don't click on it. If you think the link leads to spam/phishing site, flag it and explain why you flagged it, so the mod's can handle accordingly and see if that user should be banned or not.
Also, I find it hilarious that Wikipedia has a policy on making sure external links are credible, since I think that 9 out of 10 professors/teachers still think Wikipedia is not a credible resource.