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Each click requires a leap of faith, a certain amount of trust. It exposes the user to a staggering range of destinations and functional possibilities which may or may not be applicable to their goals, wants, mental and physical capabilities, or the capabilities of their browser, agent, platform, etc.
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What lurks behind a link? Something cool? Offensive? Interesting? Nasty? Charming? Horrific? Beautiful? Insulting? Memorable? Is it worth your while? Can you use it? Can you trust it? Would you want your kids to see it? Your spouse? Your boss? The cops?
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What behavior will the link exhibit? Will it change the contents of the current window? Force open a new window? Spawn a thousand pop-ups? Take you off site? Elsewhere on the current site? Elsewhere on the current page? Will the invisible become visible, or the visible invisible? Will you need login credentials? Will you need to upgrade a plug-in, or your browser? Will you need to use a helper application?
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Given all this, it's surprising how little time and attention is spent communicating the intended destination and effect of a given link to the user. Very few sites bother. When they do bother, they frequently do a piss poor job.
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It's akin to building roads without signs.
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