We are often warned about clicking on links in emails from unknown senders. That got me to wondering about other situations. For instance, you are searching the web looking to purchase an item and several sites come up. You go to a site that you never heard of and click on a link to find out more about a particular item. Does that expose you to the same risks as clicking on a link in an email?
Email links generally carry the risk of getting phished, whereas clicking on web links is more amenable to getting scammed in general or, in limited scope, clickjacking and XSS. Rule of thumb is to never click on advertisements, always click on "official" links (make sure that the domain is valid!), and generally be very vigilant with entering credentials and bank info.