In your dreams, most things you walk into will lead you somewhere else. This is called linking, as the places are linked by certain objects. Most NPC's in the game can be linked, but not limited to. In many cases you can find a link within a wall or simply by looking at a object for a short period of time. When the linking system is used, a flash will occur, and the play will be transported into either a specific or randomly selected area, depending on which object they touched.
Linking is an alternate method of transportation, it is the fastest and most convienent but also the most unpredictable form that is available to the play. The other form is walking. Linking is the favored mode of transportation, but players will often do linking by mistake.
The color of the flash is often white, but it can be of other colors. Red is very common, but other colors such as blue, pink and yellow can be seen on occassion. These colors don't indicate anything significant, except for that red generally links you to places associated with negative emotions, blue linking you with positive emotions, and white linking you to neutral locations. However, that is purely speculation.
It's generally accepted that the less amount of steps a player have to walk into something, the more important the thing is. For example, linking with the corpses that sometimes appear in the Violence District only take one walk cycle to link, but the walls of the town require around seven or eight. Things that take shorter to link with generally take you specific places, such as the painting at the end of the third floor of the Bright Moon Cottage taking you to the Endless Hallway, whereas the various walls which take a lot more steps to link will generally take you to Kyoto, The Pit, or the Natural World. Note: Quickly looking down while not moving as soon as you enter the Hotel on Day 1 will cause the screen to flash red, the Giant Baby to appear, and the player will be immediately linked to the Violence District.
Note: Several walls will have consistant links to curtain areas. Ex, the walls inside of the clockworks room have very specifc places which they will link to, one of them being the eye graffiti which leads you to the clockworks room. Some areas however will link to either completely random or listed areas that are picked in no specific order.