iTunes links tend to be cumbersome. When you hit one, it generally opens a new window which offers you to open iTunes (if it doesn't do so automatically), and if iTunes wasn't on, it might slow down your system. All-in-all, it's not perfect.
Apple also realized it and their solution, which they started rolling out a couple months ago, is "iTunes preview". The concept is that whenever you hit an iTunes link, you're getting a preview page of the content you're trying to access.
The service was limited to Music until now, but Apple just extended it to apps. See it by yourself by following this link.
This is an interesting evolution. The theory that, in the long-run, iTunes might be moving to your browser has been floating around for a while now and it goes well in hand with the idea of a cloud-based music library for everyone.
I'm not yet convinced Apple would do such a thing. The iPad is shipping with three different stores which makes me think that Apple really enjoys having its own little ecosystems.
But who knows? Web browsers are the future.