Sometimes an edit summary or block log will contain a link to a diff or other Wikimedia page that cannot be accessed through a wikilink. Wikimedia software does not allow external links; presumably for spam reasons; however, if the link is internal, it should be allowed (just as wikilinks are allowed). An example of where this would have been useful is http://en.wikipedia.org/w/index.php?title=Special:Log&type=block&page=User:Light%20current (search for "http").
I imagine that for sites not affiliated with Wikimedia, one might allow internal sites or other sites, with an option to allow or disallow. Perhaps an "opt-in" list for legal sites? Second part optional to first part.