Markdown links, as part of a widely-used syntax (Markdown), work in many apps. But they are a little ugly (tho not as ugly as HTML links). Markdown lets you move the URL part out of the main body of the text (“reference-style links”), but this isn’t fully supported in Obsidian (and is generally less well supported in apps). Markdown links can link to anything, anywhere. Markdown links don’t get autocomplete suggestions in Obsidian; but if you disable Settings > Files & Links > “Use Wikilinks”, you can type [[ to get autocomplete suggestions, and the link will be converted to Markdown when completed.
Wikilinks are easier to type and read, but they won’t work in many apps. This is partly because they are a more recent feature of text editors than Markdown is (tho they’ve been used in wikis for a long time). It’s also because they assume a limited scope — in Obsidian’s case, a certain folder (the vault). Within that folder they can refer to a file by its name without specifying its parent folders, but they can’t link to anything outside of the folder.