In a lot of applications (Excel, PowerPoint, Word and many more), Ctrl+K lets you insert a hyperlink. Now, links may not be so useful in a printed document, but for online documents, try it out.
Start by moving your cursor to the location where you want a hyperlink to appear. Then press Ctrl+K and the “Insert Hyperlink” dialog box appears. Now, enter a complete URL (such as http://www.tivo.com) in the Address input (where your cursor will be by default). If you had no text selected beforehand, then press Alt+T to get to the “Text to display” box and enter in the anchor text (such as “TiVo”). Press Enter, and the text appears as a link.
You can also use a network address to link your document to another one on a hard drive (by entering a URL such as \\my-server\mydirectory\).