its mainly because vbulletins and other forum scripts like phpbb and IPB automatically parse links when copied and pasted with the URL start with www. and http:// . coding links like this removes the automated parse on these links and allows us to easily copy the links without them opening new windows accidentally or the whole link not showing up properly. for eg. i have a file from rapidshare i copy the link here http://www.rapidshare.com/file/420237462/examplefile.rar that link sometimes will show up like this http://www.rapidshare.com......../examplefile.rar now honestly. to me that is very very annoying, especially if i wanted to copy a whole lot of links and paste into my download manager. coding the links removes this etc.. etc... another reason why some people do it, also the auto parse linking. but its because it leaves a refering site to rapidshare. so if 1 million peoople clicked on 1 link that was illegal and rapidshare saw that coming from warez site etc.. they would go hang on a minute. moniter that site and delete all rapidshare links they find that are illegal. anyways hope that answered your question
not always possible, people sometime oblivious and think that so called link protector sites that forward you to rapidshare is correct, so those "link protector" links are just coded anyways. but as for any re-directs that are live links are binned straight away..
to hide the referrer site. for example, sometimes the link pointed directly to a membership site using back door or unauthorized login. the admin of the membership site can see his server log and find out the source web. that's why warez site try to force their user to typing the address directly to the browser address bar (not just clicking the link).