Link markdown documents in emacs using markdown-mode.

init.el

(add-hook 'markdown-mode-hook
  (lambda ()
    ;; Open org-mode style links, [[file:relative.md]]
    (local-set-key (kbd "C-c C-o") 'org-open-at-point-global)))

markdown.md

This is a test link to a local file [[file:test.md]].

Markdown-mode supports [[Wiki]] style links automatically. Using the org-open-at-point-global function is what jumps to a new file/buffer based on where the point is.