The base format for notes is enml (basically html) which is text based
Notes can also reference attachment files
A note can be text, with image attachment files displayed inline
Sketch attachment files are also displayed inline along with text
As you noted, the text can contain links, links to external services (or other notes)
and it's a two step process
1) Open the note in the Evernote window
2) Open the link in an external app