I link back to where I found what I'm reviewing. If it's a book, I'll generally link to the author's site, or the publishers. If people really want the book, they'll be able to find it from there. Your blog appeals to a worldwide audience, why limit them?
I have an Amazon Associates account, so I usually link to Amazon (unless it's not available there, or I know the author prefers a link to their own website). That way, any readers wanting to buy or check out the book further can access it easily.
I don't like it when there's not a clickable link; what if I'm really really interested in the book? I know it only takes a few seconds more to open up a tab and go to Goodreads and hunt for it myself, but still ... I'm kinda lazy that way.
Yes, you should try to post your reviews on as many sites as possible, without being a spammer. One never knows where a potential reader might go to purchase a book; by posting your reviews in a variety of places, you will increase the chance that readers will see your reviews and use them as a recommendation for or against a book purchase.
Also --- It's a really good idea to read the fine-print on book seller websites and other “book” sites such as Goodreads.com & LibraryThing --- some of the companies will own your review if you post it on their website.
I just post the author's website but I tell my readers in my About Page that most books that I read are around the Internet or bookstores if they would like to look for them. I just blog for fun, not to be an Amazon Associate, not that there's anything wrong with that at all.
I have an "Associate Program" program account with amazon.com so all my reviews have a picture of the book cover that links to the amazon page. Visitors can click on that link and purchase the book from amazon. If they do, I get a small commission.
I have started putting links to other bloggers that have posted a review on the book that I am reviewing at the end of my review. Not only does it give both of us more exposure, but it also gives our readers a different point of view.