Very trivial using awk
:
awk '!seen[$0]++' file
which basically means:
awk "!($0 in seen) {seen[$0];print}"
So if the line is not in the array it will add to it and print it. All subsequent lines if they exist in the array will be skipped.
$ cat file
> http://example.com/some/a-test-link.html
> http://example.com/some/a-test-link.html
> http://example.com/some/another-link.html
> http://example.com/some/another-link.html
> http://example.com/some/again-link.html
> http://example.com/some/again-link.html
$ awk '!seen[$0]++' file
> http://example.com/some/a-test-link.html
> http://example.com/some/another-link.html
> http://example.com/some/again-link.html