I am sure that these links depend on the system which they are ran on, and so not all will be implemented on all devices.
However, I found some a link at least for blackberry devices which you will find useful.
Here is a fairly full list:
http://beradrian.wordpress.com/2010/01/15/special-links/
AND
http://docs.blackberry.com/en/developers/deliverables/11844/Feature_link_behaviour_438487_11.jsp
This shows WTAI, tel, dc, cti, mailto, pin as link types.
I know there is also "geo" as one.
I am fairly sure that applications can be used to handle different types of link, so this list is in now way complete.
I hope this helps.