Linking internally is the practice of creating links within the same domain. This helps to create a hierarchy between the pages, helping Google to determine what are the important pages in your site.
Linking internally is almost as good as creating links from external domains to your site. However, creating incoming links is really hard work and you are dependant on other site-owners to create these for you, while for internal links you are in full control.
Make sure to link to relevant pages within your site, and especially make sure to use your anchor text wisely. There are some Joomla extensions that can help you build these links:
The JCE Editor has a nice feature which helps you to easily link to pages within your site, which could be Joomla articles, Joomla menu-items and even others:
Breadcrumbs supply an excellent method for automatically creating internal links. Also both search engines and users love them, because they will never get lost on your site, especially if it is a large or complicated site. Especially sites with a deep URL structure (which of course you should avoid) are much easier to grasp when you have a breadcrumbs module published.
With Joomla, all you have to do is to publish the standard module that comes with every Joomla build:
Joomla extensions for automatically linking internally
There are quite a few extensions on the Joomla Extension Directory that can automate the process of linking internally for you: http://extensions.joomla.org/extensions/site-management/seo-a-metadata/automatic-links
Next to these extensions there are some extensions which offer a full SEO functionality that offer this functionality as one of it's features. MijoSEF is one of them, but there are others.
Be cautious though, if you over do this, it may result in negative effects on your SEO. use it as specific as possible.