There is a variety of options how to create links on deviantArt .. there is nothing special involved, just typing certain codes and standard HTML (don't worry if you don't know what this is, I'll get back to that soon).

First of all, you can create a link to another deviant, refering to them, by simply typing

:devDeviantName:

where as DeviantName is the deviant you want to link to, and the "dev" is because you want to create a text link.
Note that there must not be any spaces between the colons and the devDeviantName).

for example:

if you type :devtobyf: on deviantArt in any posting, note, description or journal, this will become *tobyf (tobyf is my username on deviantArt).

If you write "icon", instead of "dev", you will not get a plain text link, but the avatar of that deviant - just type :iconDeviantName: (again without spaces).

:icontobyf: - for example - will become

icons, however, do not work in signatures, by the way. also mind that you shouldn't overuse the icons in your journal, there is no official limit but more than 64 icons is definitely considered abuse by quite a few staff members.

and of course you can use the standard HTML hyperlinks too:

for these, you start with

<a href="http://www.deviantart.com">

whereas the http://www.deviantart.com is the link from your addressbar, you want to link to, then write the text you want to be displayed to the other deviants, and finally finish with

</a> (don't forget this - otherwise all of the remaining posting will become a link as well), so:

<a href="http://www.deviantart.com">this is deviantArt</a>

would become

this is deviantArt

You can simply type out the address too: if you just write "http://www.deviantart.com" somewhere, deviantArt will convert this to [Link]. If you want to write out a link, such as http://www.deviantart.com and not have deviantArt convert it into [Link], you put a :link: before the address and a colon after the address, so if you write

:link:http://www.deviantart.com:

it will stay the non-clickable text "http://www.deviantart.com" and will not be converted to [Link]

last but not least, if you are a deviantArt subscriber, you can easily create links to other deviant's art in your journal, by typing :thumb5784659: .. whereas you replace 5784659 with the number of the work you want to include - you can see this number in your address-bar, when viewing the submission.

:thumb5784659: would, for example, become a shaded thumbnail looking like that:

Also, you can use :print12345: to link to to a print on deviantArt. Just use it like the :thumb5784659: code, with the same deviation-ID, to get a link to the print of that deviation (this obviously works only if the deviation has, in fact, a print).

Note that this last feature (thumb and print codes) only works for subscribers, and only in their journals. The :thumb5784659: also works in the thumbshare forum, so you can go there and show other deviants your work.