Yes, there are websites that forbid people to link to them. I'm not sure if that's a legally enforceable demand, but they make it anyway. Malcolm Coles has descriptions of (with links to) fifteen websites that disallow linking, including BBC Magazines:
Link via Marginal Revolution
Oh, the BBC. How could you? “You are not permitted to create a link to any part of our Services other than the home page unless you have our prior written consent.”
Link via Marginal Revolution
Comments (7)
How is anyone going to read their site at all, unless it's linked to? You think anyone types in URLs any more? LOL.