It would be very useful to provide links to matplotlib API docs for methods/objects/etc.. used in examples. This could be a part of MEP12.

An intuitive approach could be to automatically render links in displayed code. If that sort of thing is not already in Sphynx, I guess I'm suggesting a sphynx extension (and should go over there to suggest it ;)

Some (not so good) alternatives could be to associate links to API docs with certain tags or to include a few hand-coded links in each example page. Not so good as it would be incomplete (many methods/... used would not be linked) and would lead to inconsistencies (some examples much better linked than others).