...in general, when possible, when it adds something to the answer, when something significant is taken from a source.
Keep in mind, the really important thing is citing the source, making it clear where the information came from. Linking to it is an additional helpful thing to do in many cases. For example:
- a link to a forum thread containing a response from the game designer is pretty much required. It's unique, and might be hard to find otherwise.
- a link to the Arkham Horror FAQ is good. It's not obvious that it exists if all you have is the game. Similarly, if you're citing the errata from the Dunwich Horror rules, it's good link to them. Readers might only have the base game.
- a link to the Arkham Horror rules is nice, but optional. I'd generally do it, because it's easy, and it might save someone the time of getting the rules out of the box to see. But if it's missing, it's not a huge deal; the OP does have a copy of the rules with the game, and they have Google to find them online if they want.
- If you only used the rules incidentally, and most of the answer is about something else, don't worry about it.
- If you can't find the rules online at all, don't worry about it.
As for Magic, I don't think it's really worth it to make any kind of policy. It's similar to the "nice, but optional" case in the list above. True, the rules are only available online, but that generally means that people already know how to find them, especially the kind of people actually interested in reading the comprehensive rules.
It's incredibly rare that someone asks for a source; most people are happy to either read what's quoted in the answer or use Google to find more. If someone really can't figure it out, they can ask a question. (That has happened, once.) So the potential upside is pretty low, not enough to warrant spending our time editing links into answers or commenting asking everyone to include them.
It's also a case of diminishing returns. If even 1/10 of the answers to Magic questions have a link to the rules, the odds are pretty low that anyone hasn't seen one yet. The more links there are, the less important it is that we bother adding them to more answers.
So, sure, link if you like. It certainly doesn't hurt. But I definitely don't want to see anyone getting badgered to include links.