When you get a chance, read this post from the WSJ's Jeremy Wagstaff. In the article, Wagstaff scolds publishers who internally link when referencing an external site (with the classic example being a TechCrunch post which links to a prior review rather than the site itself when mentioning the site by name). According to Wagstaff, it would have been sleazy if I had linked to a past article of mine, mentioning him, instead of linking to his blog (or another direct source) when I used his name above. I think he makes a good point and we should all be more sensitive of the issue.
The main reason is that, as Wagstaff points out, by convention, linking is one of the ways we can semantically link information across the web. The convention of it is very important, because while self-linking increases personal value of your content, it decreases the overall value of the Internet, because it's not linking the right information. That link is key.
Anyway, it's an insightful post and I hope you read it.