Determining when any link is clicked on a page

How could I determine when ANY link on a page is clicked and what that link points to without having to add a function call into onClick of every href tag?

Yes... but it would be better if you used Unobtrusive JavaScript, which would add the onclick event handler to each link when the page loads.

Behavioral Separation (http://www.alistapart.com/articles/behavioralseparation/)
Unobtrusive JavaScript (http://www.onlinetools.org/articles/unobtrusivejavascript/)
DOM Scripting - Sample chapter: Best Practices (http://www.domscripting.com/book/sample/)
Accessible DHTML (http://www.severnsolutions.co.uk/articles/001/)

Where will the information be going to? Or is this just for your own testing locally?

It would be going back to the server that hosts the page. I am conducting usability tests.