Use Sphinx intersphinx or extlinks for common cross-refs, not full URLs

[Zac-HD]

Via #9041 (comment) - these changes make our docs easier to read in plaintext, and give us a single location to update if something we're referencing moves (e.g. the docs for an upstream package). Specifically, let's:

• Ensure that we're using intersphinx for all our frequently-referenced docs
• Check for manual links which could use intersphinx in CI
  (using something like @hoefling's special builder, which I want to copy for my projects)
• Use extlinks for other patterns like Pytest issues and PRs

See sphinx-doc/sphinx#9626 for upstream progress on this; we'll adopt the checker once it's released by Sphinx ✨

[nicoddemus]

Just a note: see if it runs fast enough that we can include the check in pre-commit, instead of just the CI.

[Zac-HD]

@hoefling - it looks like this is done, but you're the expert - should we close the issue? If not, what additional changes do you want to see?

[hoefling]

@Zac-HD I think it can be safely closed. The only thing I was waiting for was the approval of sphinx-doc/sphinx#9626, but now I see that it got outdated. I have to rebase it onto mainline and ask @tkomiya for another review and whether it can still be included in Sphinx==4.4. The bump of Sphinx itself then is a different story and this issue is largely unaffected by that.

[Zac-HD]

Thanks for all your work on this 💖