If you want both links  and documents in the same list, you could add
a meta data field that contains a link  to the document  library.
That way you could create a view that displays the link field and
essentially have it in the same list  as documents. The caveat is
that you will need to upload a file  of some sort in order to get the
record into the document library.

An interesting use case. Links should be in a links list, documents
in a document library.

I don't think there is any way to create an entity in a document
library that doesn't have a file of some sort attached to it.
That's the nature of a document library. It sounds like the users
are asking for something that doesn't fit with the SharePoint model
out of the box.

I suppose you might be able to create a list definition that would
accomodate the requirements.

As one possible approach for including links  in document  libraries,
we tested unblocking the .url file  extension on a test server so we
could try uploading Internet shortcut  files (Favorites) to a doc
library.

What we found  through testing was that when you upload files  one at
a time using the Upload Document option, it seems to interpret the
URL string as a path and uploads the actual web page file to the
library. So, if I publish  a shortcut file that points to
http://office.microsoft.com/en-us/default.aspx, it actually grabs
the default.aspx file and publishes that as a document in the
library. (At least that appears to be what is happening.)

If I upload files using the Upload Document / Upload Multiple Files
option, then it loads the .url files correctly into the library
without any interpretation and the links work well.

I'm sure this inconsistency may be a contributing factor to why
Microsoft blocked the file type by default. But, are there any
other concerns or potential issues we should be aware of when
considering whether or not to unblock it?