Lessons can carry three kinds of attachment, all of which appear as a tidy chip in the page rather than a bare URL.
Documents
Add a Document block to attach a file: PDF, Word, PowerPoint and similar. Students can open it from within the lesson, so a worksheet or a data table can travel with the work.
Links to another lesson page
You can link to any page in any of your lessons. Search for the page you want and the closest matches from the lesson you are already in come first.
Hovering the chip shows a preview of the target page, so you can check you have the right one without navigating away.
If you duplicate a lesson, page links inside it point at the pages in the new copy, not the original.
Links out to the web
The quickest way is to select some text and paste a URL over it, which turns the selection into a link. You can also select text and press Cmd+K (or Ctrl+K), or use the link button on the formatting toolbar. A small dialog lets you set the text and the address before you save it.
Links show the site's icon, and Google Docs, Sheets, Slides and Drive get their own, so a page full of links stays readable. You can change the text a link displays, and unlink it again to go back to plain text.