Mercurial versions soft links that are internal to the repository just great. It'll detect them, record them, and create them for you. Is there a specific use case you're looking for? The closest thing to an link that reaches outside the repository is a subrepo, which is a pointer to a specific version of another repo.
Symlinks work
(df)Ry4ans-MacBook-Air:~ ry4an$ hg init olav
(df)Ry4ans-MacBook-Air:~ ry4an$ cd olav/
(df)Ry4ans-MacBook-Air:olav ry4an$ echo this > target
(df)Ry4ans-MacBook-Air:olav ry4an$ ln -s target link
(df)Ry4ans-MacBook-Air:olav ry4an$ ls -l
total 16
lrwxr-xr-x 1 ry4an staff 6B Feb 16 19:25 link@ -> target
-rw-r--r-- 1 ry4an staff 5B Feb 16 19:25 target
(df)Ry4ans-MacBook-Air:olav ry4an$ hg commit -A -m "link and its target"
adding link
adding target
(df)Ry4ans-MacBook-Air:olav ry4an$ hg log -p
changeset: 0:42a41a431661
tag: tip
user: Ry4an Brase <[email protected]>
date: Sat Feb 16 19:26:17 2013 -0500
summary: link and its target
diff -r 000000000000 -r 42a41a431661 link
--- /dev/null Thu Jan 01 00:00:00 1970 +0000
+++ b/link Sat Feb 16 19:26:17 2013 -0500
@@ -0,0 +1,1 @@
+target
\ No newline at end of file
diff -r 000000000000 -r 42a41a431661 target
--- /dev/null Thu Jan 01 00:00:00 1970 +0000
+++ b/target Sat Feb 16 19:26:17 2013 -0500
@@ -0,0 +1,1 @@
+this
(df)Ry4ans-MacBook-Air:olav ry4an$ hg update null
0 files updated, 0 files merged, 2 files removed, 0 files unresolved
(df)Ry4ans-MacBook-Air:olav ry4an$ ls -l
(df)Ry4ans-MacBook-Air:olav ry4an$ hg update tip
2 files updated, 0 files merged, 0 files removed, 0 files unresolved
(df)Ry4ans-MacBook-Air:olav ry4an$ ls -l
total 16
lrwxr-xr-x 1 ry4an staff 6B Feb 16 19:26 link@ -> target
-rw-r--r-- 1 ry4an staff 5B Feb 16 19:26 target
But hardlinks don't
$hg commit -Am "hardlinks target"
adding link
adding target
$hg log -p
changeset: 0:ec9407634133
tag: tip
user: Chris Wesseling <[email protected]>
date: Wed Mar 13 23:14:44 2013 +0100
summary: hardlinks target
diff -r 000000000000 -r ec9407634133 link
--- /dev/null Thu Jan 01 00:00:00 1970 +0000
+++ b/link Wed Mar 13 23:14:44 2013 +0100
@@ -0,0 +1,1 @@
+foo
diff -r 000000000000 -r ec9407634133 target
--- /dev/null Thu Jan 01 00:00:00 1970 +0000
+++ b/target Wed Mar 13 23:14:44 2013 +0100
@@ -0,0 +1,1 @@
+foo
$ls -lin
total 8
276702 -rw-r--r-- 2 1204653 5900 4 13 mrt 23:14 link
276702 -rw-r--r-- 2 1204653 5900 4 13 mrt 23:14 target
$hg update null
0 files updated, 0 files merged, 2 files removed, 0 files unresolved
$hg update tip
2 files updated, 0 files merged, 0 files removed, 0 files unresolved
$ls -lin
total 8
276719 -rw-r--r-- 1 1204653 5900 4 13 mrt 23:15 link
276721 -rw-r--r-- 1 1204653 5900 4 13 mrt 23:15 target