Links to works that don't yet have pages will thus show up as red. However, they'll automatically shift to blue when the page is created, so always link to works even if it doesn't have a page yet, unless the work would violate the Content Policy — it makes it easier for when someone eventually writes it up.
A misspelled or otherwise botched link will be red too, even if the page it was intended to go to does exist. These might be Frequent Redlinks, and should be fixed on sight.
Pages destined to forever be redlinks are listed on Permanent Red Link Club.
Sometimes, Tropers will make redlinks without even intending to link! This is because the markup assumes every use of CamelCase is supposed to be a link. This can be a pain when trying to talk about, say, the Speed Chat function in an online game. In order to fix links like that, put [=this=] markup around the word, so Speed Chat becomes SpeedChat.