The links open a Safari window, (or in Internet Explorer in Windows), closes it, and sends you to the corresponding album. If you copied the link of a song, it'll select the song for you. Great for recommending music to your friends!
[robg adds: This is documented in the new iTunes help, which I strongly suggest reading as it contains a number of other cool tips on getting the most out of the store -- including the fact that you can also drag the songs to the desktop, Mail app, etc. to create a link.]

