They don't have to take you far, though - links can take you to somewhere within the same document. You can spot the text links because they are usually underlined, and they are always a different color than the rest of the text.
Links can also be pictures.
A picture link can be spotted by watching your cursor. When it changes from a little arrow to a little hand, you know you've found something clickable. Everything you place within the beginning and ending tags will be your link. These links take you to someplace on the same page. In order for a link to work, the URL must be perfectly correct.