I've received a spam from one of my friends (well I'm sure he didn't send it). so there's this link, and i'd thought what exactly would be the implications of clicking the link (i've not clicked it yet)?
The common reasons for links in spam email are:
More than one point may be true.
Just to expand on one item in @Hendrik's list, the exploitation item:
It is much easier to write an exploit which requires a user to click on something than to fully automate the attack from a position of no contact. All that link has to point at is an exploit for a vulnerability that isn't patched on the user's machine and the results could include things like a keylogger or rootkit being installed, the computer becoming part of a botnet etc.