HTML doesn't impose any kind of rules about the way you link documents, but *you* should. Imagine if you took a book, removed the table of contents and chapter numbers, pulled the pages into a half-dozen chunks, and then handed the result to someone who wanted to read it. How would they know the order in which to read the pages? That's sometimes the dilemma of Web surfers who fall upon randomly connected pages.
When you have a lot of data to present, start off with a table of contents that outlines the major topics in the order you think people should read them; a bulleted or numbered list is a good way to present your list. The links can either take the reader to another point in the same file (via anchors) or to another file. Once you've created a contents page, be sure to provide a link back to it from any page in your presentation. That lets people easily get back to the top-level view and see the topics they've yet to cover.
Make sure the links you make to other pages--and especially those to other Web sites--are relevant to the topic at hand. Have you ever read a book where there are two or three tangential footnotes on every page, and you're constantly looking down to the bottom of the page (or worse, the back of the chapter) to read them? It's similarly annoying to be tempted into clicking on a linked document, only to find that the link isn't that relevant. Don't derail your reader's train of thought.