The experimental browser on the kindle allows certain file-types to be downloaded when you click the file link on a website. These include AZW (and azw1; topaz), of course; but also PRC and MOBI (which is the basis for azw) that Palm OS devices would use on their eReader software. There is also TXT and PDF. So in principle, a webpage could include a hotlink to any of these file-types and the kindle browser would respond to your click with "do you want to download this file now"?
Formatting is preserved with PDF and AZW (prc, mobi). Hotlinks can be conveyed in PDF, depending on the author's settings. They also function all right in AZW (prc, mobi). TXT is just the keystrokes, but kindle still allows commenting and bookmarking, as well as adjustment of the display text size.