The Link format of posting is another compact flavor of posting, very similar to the Aside format, except that it displays the heading “LINK” instead of “ASIDE” in the main blog page or archive page in which the entry is listed.
What http://codex.wordpress.org/Post_Formats says about this format:
link - A link to another site. Themes may wish to use the first <a href=””> tag in the post content as the external link for that post. An alternative approach could be if the post consists only of a URL, then that will be the URL and the title (post_title) will be the name attached to the anchor for it.