For my D&D content management I use a program called
The Journal.
Like the other programs already mentioned, it provides hyperlinks to locations internally as well as other files or web pages. It has a spell checker and thesaurus as well as powerful formatting options (even supporting styles) but, for me, its killer feature is its support for templates. This can be used for simply inserting boilerplate text or something quite complex as it supports scripting.
Also, the website has a section on incorporating the program into roleplaying sessions.
It's not free though ($US39.95), but worth the money in my mind.
Regards
Wombatmaster
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