You can attach all types of files to DocAttach including web links, except you cannot include shortcuts to files or folders on your network. While the intention of DocAttach is to be able to attach files and have them stored in the database.
However, if you deal with a substantial number of fixed assets and need images of the condition, or deal with technical diagrams, these files are often between quite and very large. As files are stored in the database as BLOBs (Binary Large OBjects) they are the same size in the database as they were originally; this can mean the database size will grow very quickly as files are added.
I have submitted a suggestion on Microsoft Connect asking that file and folder shortcuts be an allowed file type for Doc Attach.