When in the iPhone / Touch Web browser (Safari) and are viewing a Web site. You will have the usual links to other sites appear just like on your desktop browser. Normally you tap a link and are taken to another page or site.
Before making a jump from a tap on a link that you are not sure you will like the result. See where your going to be sent to by tapping and holding your finger on the link for a second or two. A pop up will appear showing the Web address the link points to.