I agree on this one. I've changed all Wikipedia links in my
translation to point to local Wikipedia pages where possible. If there
was no local Wikipedia article or link is to other type of web
resource I left the link as it was.
I don't know if it would be helpful to have a different styles for
links to pages of the 'local' language (selected using 'rel' attribute
in CSS maybe).
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Damir Zekić
http://twitter.com/sidonath