Org-mode contains a LaTeX exporter written by Bastien Guerry. With further processing1, this backend is also used to produce PDF output. Since the LaTeX output uses hyperref to implement links and cross references, the PDF output file will be fully linked.
[1] The default LaTeX output is designed for
processing with pdftex or latex. It includes packages that are
not compatible with xetex and possibly luatex. See the
variables org-export-latex-default-packages-alist
and org-export-latex-packages-alist.