When you write a blog entry and link to a page on your site, it’s tempting to use a relative URL because it’s convenient. There’s a problem though – if you have an RSS feed, the subscribers may be reading your blog entry on another site which isn’t on your server, so the relative link will be broken relative to that server.
This didn’t dawn on me until I tried using one of my links in Bloglines. When it didn’t work, I investigated it and then replaced all relative URLs in my entire blog with absolute URLs.
Executive summary: Use absolute links in your blog entries.