Here are some examples of working item links (RA: this works for the shoutbox too).

Shadowmourne

Dark Edge of Insanity

Pendulum of Doom

Lumbering Ogre Axe

Brunnhildar Great Axe

Stone Reaper

Bloodied Arcanite Reaper

Are you using the wowhead widget? http://www.wowhead.com/?powered
I thought it does coloring automatically.

We’re using that, yes. However, even Wowhead links require a CSS class in order to show color. They just use q1-q5 instead.

To color your item tooltip links based on item quality, put “class=q#” in the <a> tag, where # is the number of the quality level of the item:

5 is legendary (orange), 4 is epic (purple), 3 is rare (blue), 2 is uncommon (green), 1 is common (white), 0 is poor (gray). Example:

<a class="q5" href="http://www.wowhead.com/?item=19019[b]">Thunderfury, Blessed Blade of the Windseeker</a>