All you need is a Greasemonkey compatible browser like Firefox, the Greasemonkey extension and the Annotate Links script that adds the functionality. The annotated links are not visible when browsing websites but will become visible once you print the website. Each link gets a unique identifier (number) which corresponds to a link in the link list at the end of the printout.

Only plain HTML links are added this way to the document. JavaScript links or relative links are not included which makes a lot of sense obviously. You can preview the output if you select Print Preview from the menu of your browser, the way the links are prepared and added should be visible there if the Greasemonkey extension is running.

Update: The Annotate Links script is no longer available on the author’s website. The link is returning a 404 not found error.

The Printable userscript is an alternative that you can install instead. You still need Greasemonkey installed in Firefox to make use of the userscript. It is likely that the userscript is also working in Scriptish for Firefox, Google Chrome, Opera and other browsers supporting custom userscripts.

This script automatically adds link references to the end of the printed document. This way, the linked information are visible on the print out which may help in research later on.