Wikipedia is freely licensed, but that doesn't mean there are no copyrights at all. Rather, as the "Copyrights" policy explains, all content is considered to be copyrighted by its contributors and "formally licensed to the public under one or several liberal licenses" (usually, but not always, Creative Commons).
Content can be copied, modified, or redistributed only if the copied version is made available on similar terms and proper attribution is provided. Cleverly, this process is known as "copyleft".
There are some instances in which works copyrighted by others may be used at Wikipedia, but keep in mind, Wikipedia aims to be as "free" as possible, so original content using a free license, or in the public domain, are highly preferred.
Oh, and you don't have to worry about linking to copyrighted works in the form of citations or outbound links—that's totally cool.