External links policy
There are two types of spam on Wikimedia projects. These are advertisements masquerading as articles and external link pushing. This page mostly deals with the latter.
Cross wiki link placing
Adding external links to an article or user page for the purpose of promoting a website or a product is not allowed, and is considered to be spam. Although the specific links may be allowed under some circumstances, repeatedly adding links will in most cases result in all of them being removed.
Cross wiki spam means that a certain link has been added to multiple projects. In this case the URL might be blocked (blacklisted) on a global level, meaning that it can't be added to any Wikimedia project.
As Wikimedia projects use nofollow-tags addding a link to one of them doesn't alter the search engine ranking.
Blacklisting
Global blacklist
There is a global blacklist on meta: Spam blacklist. This is a list of domains that have been placed excessively and are therefore blocked on all Wikimedia projects, i.e. you can't link to one of the listed entries from any Wikimedia project. For a domain to be globally blacklisted it has to be excessively linked on multiple projects. If it's only added to a single project generally the link should be blacklisted locally.
Addition and removal of links can be discussed on Talk:Spam blacklist.
Local lists
Each Wikimedia project also has a local blacklist and a local whitelist, for example en:MediaWiki:Spam-blacklist and en:MediaWiki:Spam-whitelist. The former can be used to disallow linking to certain domains on a certain project only. The latter is a means to be able to link to domains on the global blacklist, or to exclude certain documents on a server, while all other documents on that server can not be linked to.
Addition and removal of links can most often be discussed on the local talk page. Local blacklists should be used whenever possible to manage blocking of external links; the global blacklist should be used for widespread cross-wiki link placement, which would be inefficient or impossible to stop using the local blacklists (and for the real crap?).
Helping out
If you're interested in helping out by fighting and removing unwanted external links, please see Spam blacklist/help.