Depends. If it's for people's personal sites (Facebook, Twitter, deviantart, etc.), then I don't. Actually, I don't think I click on them at all. At most, I hover over them and look at the url address and see if it interests me, which it usually doesn't.
I do if I'm interested... like if I see a link to someone's tumblr and I know we have similar interests, I'll click it and take a look.
I don't usually pay that much attention to peoples' signature outside of 'Oh that image looks nice. I wonder if they made it themselves?'. I don't really bother with links.
Yet he has the most links and emphasis on those links I have seen of any forum member. Oh, and Amber: I love the skin for your blog. Great choice.
I usually click links leading to Tumblr (or any blogs), Facebook and sometimes YT. Personal things. I never click links that link to something on KHV. I link to projects in my signature and such for the ease of other people. Most of my projects are ongoing and don't show up on What's New at a constant, and I feel it may be easier for someone who participates in these things to see a post of mine and have access to the links. Or for newer members.
My only complaint is the colour of the banner and blog title. I think it should be lighter than the background or way darker. That colour is going to kill me. You don't have to take my word for it, but AJKZGHHSFJKLjlkafdjlasdfk.