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 don't be afraid to link to works this way — 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 a link is blue when the specific page referenced does not exist. This is because the same page title exists in a different namespace. Clicking on such a link will take you to an automatically generated disambiguation page. Since the link is therefore technically valid, it won't be red.
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.