On rare occassions I will follow a link in a sig. I tend to gloss over the sigs if there are several lines with links in them. I am more likely to notice one or two links in a sig and if interested follow those. So it has been known to happen.
This strikes me as more of an off-topic sort of thing, so I'll move it over there.
I rarely do, but I have on occasion found sig links useful. The things I DON'T like are sigs that are six inches long with various links to all sorts of esoterica.
I frequently follow sig links to stuff like homebrew campaign settings, products (which publishers sometimes put in their sigs) or actually company sites.