Another situation I do not see discussed here is similar to link rot.
A lot of users on stack overflowStack Overflow work for corporations. It is possible that stack overflowStack Overflow is not blocked by the company firewall, but the site you link to is. This could be the same if sites are blocked in certain regions, etc.
Following random links on webpages might be some people's view of the internetInternet, but it could turn into a security nightmare.
Note: Even if stack overflowStack Overflow handles bad links (through a flag system, or preemptive discovery), system administrators would still discourage clicking user submitted links.
You can also always hover over the link to see where it points before going there, but some people use URL shorteners, so this would not help every case.