I can speak from my own frustrations with certain faceted search engines out there. The first that comes to mind is NewEgg. I love NewEgg for the most part, but their guided search could be smarter. The number one complaint I have is the way they handle numerical data, and I've seen this elsewhere too.
When looking at SSD's on NewEgg I see these options...

This is almost useless. Any time you have a range of possible numerical values, the search engine should allow you to somehow specify the range you're looking for. There are three possible solutions which would all be better.
- Create a min/max text entry or some sort of range control.
- Create checkboxes next to each item so the user may select multiple options.
- Change the options to 8+, 16+, 32+, and so on. This would be based on the basic assumption that the customer always wants more for less money. So if they're looking for 32GB drives, they could potentially buy a 40 or 48GB drive assuming it's not much more expensive. Another example of this can be seen at realtor.com where the number of bedrooms and square footage criteria are done in a similar fashion.
Links vs Checkboxes vs Dropdowns
In the simplest examples links will work just fine. They're simple for the user and even have advantages in SEO.
Checkboxes are useful like in the example above where it's desirable to select more than one option in a grouping to filter by. If you go down that road, I think it's helpful to commit to it like Realtor.com did. Their search is composed entirely of checkboxes, radio buttons, and textboxes (for a price range). They chose not to add links to the mix, as they don't really fit in with the other form elements.
Dropdowns should typically be a last choice when you're desperate for screen space, as they require two clicks to select anything.
P.S. Check out the Pivot Viewer for Netflix. It requires Silverlight. Checkboxes and numerical range controls are utilized where appropriate, and it works quite well.