Ever spot how links on the Yahoo frontdoor are generally just a few characters long? (e.g. http://yahoo.com/N/) Link HREFs, generally, run on much longer than that, especially if they include redirect codes or CGI variables. Put enough normal links on a page, (viz. the Yahoo frontdoor, again) and a sprinkling of kilobytes (and seconds of download time) is also added to the code.
So what's Yahoo doing with those funny links, anyway? They're abbreviating their URLs, using the mod_rewrite Apache module, so that a link like "/N" redirects to "mysite.com/content/unregistered/News". Implementing this requires getting your hands dirty with some server configuration. Specifically, you need to get mod_rewrite installed and poke around with the srm.conf file. Dirty work for many of us, but the payoff is worth several solid kilobytes on a link-heavy page.
One important question to ask yourself before leaping into URL abbreviation, though: Why should your homepage require hard-core server-side optimizations used by the major portals? If your frontdoor is farming links on the same Stalinist scale as Yahoo, your problem may well be "too many links", comrade.
Of course you want every page of your site to be accessible. And if you have advertisers to please, they'll demand navigation which brings traffic to their sites. Stuffing a lot of links on your page won't solve these challenges.
It's a zero-sum game the more links on a page, the less likely any single link will be clicked. If your page has clumps and columns of links surrounding the content, readers will just tune them out altogether and focus on the good stuff in the middle of the page. There's little point in having that happen.
Paul Boutin previously covered this topic for Webmonkey, and his parting advice puts it pretty succinctly:
"Study your server logs to find out what people are clicking on most and least. Cut what your readers aren't reading, and replace it with the information that your log data proves they want."
Understanding your site's traffic flow helps you deal with advertisers, too. There's no better way to upsell a sponsorship than with solid metrics showing how poorly their latest "great idea for a link" performs when compared against a sensible placement with tried-and-tested traffic.