When URLs are linked, when viewing the page a small WWW-specific icon appears next to the link. For internal links no icon is shown, which is fine, but links to other wikis also have no icon.
Following the principle of least surprise, there should be icons for other destinations, very preferably ones that are specific to the destination the link is pointing to.
This is problem in wiktionary in particular. There there are a large number of links to the wikipedia, but there's no way to tell that this is happening, so clicking on the link puts you somewhere very different without warning. However, this is also a problem in other wikis.