A link is address of a web page which is maintained on a page which allows you to jump to new web page. One of great things about HTML and world wide web is this ability to link sites together. This results in internet truly becoming a web, and benefits to surfer are tremendous.
It is normal for virtually every site on web to maintain a list of links to "favorite", "featured" or "special" places to visit. This is almost never done with permission, nor does it need to be.
Remember that we are discussing linking to pages on other web sites, not graphics, zip files, sound files or anything else. Only HTML-style pages are acceptable for cross-linking. Linking to other types of media files is called bandwidth stealing and is highly unethical. Also remember, do not link to other people's CGI routines without permission.
There is some concern over acceptableness of this linking behavior. Some commercial sites are not happy with linking because it bypasses their "home page" or sidesteps their advertising. There is even some discussion that linking is a trademark infringement or violates some other sacred rights.
This is all silly talk by people and organizations who completely misunderstand nature of world wide web. The best practice of everyone creating a site is to complete ignore this asinine discussion totally and to link vigorously and constantly.
In my opinion best way to think of linking is to associate it with "fair use" laws. These are laws which allow people to include short quotes from published and copyrighted works in their own materials. This is not illegal or unethical - in fact it is absolutely necessary. Imagine how difficult it would be for a college student to write a term paper if he could not quote authors, or how impossible it would be for a critic to do his job if he could not include a few lines from work he was writing about.
Fair use is something that comes under attack by dimwits sometimes. It is essential that we, people, constantly use fair use laws, as if they become unused then they will become illegal. We must defend our rights to quote and "borrow" snippets from other sources.