The only links that will be 'active' in your listing will be the ones that link within Etsy, I think.
For example, I have a print set of shoes available, but can't put a full-size image of each individual shoe in the listing. I provided a URL to my website that shows each full-size image, but this link is not clickable on Etsy.
The links that are clickable are the ones within my store. Since I have a set available for 'flat' shoes and a set for heels, I provided a link to the other in each listing. I also put a link to my store in general so someone could click to see what else I offer besides shoe prints. I've noticed it helps, and it makes navigating your shop a little easier :]
I put links to my website and blog into my shop announcement and profile.