Hot-Links? What's that, you ask? The definition on Dictionary.Com states that a hot-link is a
connection between documents or applications which enables material from one source to be incorporated into another, in particular a facility which automatically updates material in a document when an alteration is made to the document from which it originated.
Clear as mud, right? Basically, it's a link to a website or blog or a place to purchase your book to drive traffic.
How important are they? Very! If you are writing a blog explaining your expertise in a certain area, you want to direct your readers to see what you are doing in that area. Add your website link. If you are an author and want someone to purchase more of your books, include the links to where they can purchase. Here is an example (and a shameless plug) for me... Buy my books here! (Seriously, go buy them. LOL)
Include hotlinks in any articles you write. Include them in the back matter of all of your ebooks. Include them on your website. After all, if You get the picture. Now get busy!