That's pretty much the only solid way to do it. You could always use mod_rewrite to clean up the links, so for example, you'd have:
http://www.domain.com/go/3425
Other way would be to add an onClick statement to your <a href> tags. For example:
<a href="http://www.somesite.com/" onclick="trackHit(34);">
Then have a Javascript function name trackHit() that sends a quick AJAX request to track the click.
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