There's nothing wrong with links themselves - as long as the content at the other end of the link wouldn't violate TSR's Community Guidelines were it posted here directly.
So you shouldn't link to anything which might incite discrimination or hateful behaviour, which could lead to attacks on marginalised groups, which includes significant unfiltered swearing or sexually explicit content. Also, promotion activity and referral links would be a breach of the guidelines. It's common sense really - so most links are absolutely fine. If you're not sure, search for the word "link" in the Community Guidelines.