Especially important for reference documents, but also for indices and home pages, is the printability. People still prefer a hardcopy version of useful texts. If the text is full of explicit references to things that only work on the on-line version, the printed document becomes unusable.
A particularly well-known aspect of this is the "click here" syndrome. That is, hyperlinks with "click here" or just "here" as the anchor text. Not only does it assume that the user is using a mouse, it also draws the attention away from the surrounding text. The reader has to re-read the surrounding text to make sure he is selecting the right "here". A hyperlink anchor should be understandable on its own.
Similarly, things like "Information about X is available by following this link" or "Click here for technical details" are to be avoided. Embed the link in the actual text, in such a way that it is not required to follow the link to understand the text. Instead of the explicit text in the first example, just link the first mention of "X" to the explanatory document on "X". Someone who reads this document off-line will not be able to directly find out more about "X", but the document is still readable.