I don't post links because my blog is not about helping to market books but about discussing books. (Yes, it's a fine line, but I draw it anyway!)
On the other hand, I do think that these quick links are a great extra service which more serious book blogs can do for their readers. I know some blogs which post links to several vendors (to give the reader a wider choice), links to the author's and publisher's sites, and even links to reviews by other bloggers. I hardly ever click on these myself, but I'm sure other readers appreciate them.
I don't post links for the simple reason that if they've found my blog, they should be able to find whatever they need. Some people have their own preference where they check out stuff on books and I see no reason to promote my own. If they like a review but have trouble finding the books or need other information they can put that in the comments and I will help them if possible. It's what these things are for. In a way I try to keep my blog pure and without rubbish. That's also some criticism I have to some bookblogs I've seen of members here as they are to full with other stuff, taking away the essence of the blog, but that may also just be a matter of taste. I like functional, clean and clear websites where things are easy to find.
I used to link to Amazon, but these days I'll do a link if I want to promote a special edition from a certain publisher - maybe there is different cover art, or a special introduction or something. I linked to Subterranean, because on their site they blurbed some reviews I'd done for a 'zine, but that was more bragging than plugging a specific publisher.
If you're reading reviews online, you probably have some clue how Amazon or B&N or Abe works, I don't need to show you.
I always include an affiliate link to the book's Amazon page at the bottom of each post. If a reader wants to buy the book, I might as well make a small commission off of it. And even if they don't buy it, the Amazon page has a lot of helpful information on it and allows the reader to browse through the book itself to get a preview of it.
I like it when people include (mostly Amazon) links in their post because it means less work for me if I want to add it to my Amazon wishlist. One less tab to open, etc.
For my own blog, I always includes links to Amazon, Powell's, and the author's website if I can find it. I'm an affiliate with Amazon and Powell's, as well, and it's always nice when someone buys a book I've reviewed through a link in the post. Makes me think I've been doing my "job" well! (Plus it means that, eventually, I'll be able to buy a new book for myself. Yay!)