Hans Aberg writes:
 > Depends: In DVI, such links are shipped out using \special, when converted
 > to PS, it must be put into a similar box, which later is converted
 > correctly to PDF. If people sit down and work it out correctly, it may
 > work, but it is a fragile procedure, as it hangs on a chain of extensions
I have maintained a LaTeX package since 1995 which manages this
process, supporting half a dozen different backends. Believe me, its not
fragile (ok, its not unbreakable!). The bits of it that relate
to TeX->DVI->PS->PDF are reliable, well-understood, and supported.

 > On the other hand, if the format from the beginning understands links (like
 > PDF), there is no doubt that it will work if the format converted to also
 > understands links.
the PostScript which is fed to Distiller or ps2pdf understands
links. so there you go. read up on the pdfmark operator, if you are
interested

Sebastian