As long as your links are relative and not absolute they'll work anywhere.
Just to expand on this reply:
If you are writing HTML/CSS then you can make all the links relative and the only likely problem is capitalization of link addresses. This is because, if you are developing locally on a Windows platform, then it ignores capitalization errors. E.g. "path/file.html" is treated the same as "Path/File.HTML" and "PATH/FILE.html" etc... However, if the live server is Unix based, non-matching capitalization of links will fail when you put the pages to live.
If you use a CMS, the above still applies, but you are also dependent on:
a) Being able to download a local copy of the development environment, or some other such arrangement.
b) Whether the tool supports relative addressing.