They don't actually link to the wikipedia URL. They mask a link that leads to another Google page "/url?sa=t&rct=j&q=&...." which in turn responds with a 200 OK page that redirects to Wikipedia.
Sure it passes the keywords etc. But this likely reduces the number of people visiting Wikipedia, while increasing Google's ad revenues, if anyone but Google did this they'd be potential blacklisted by Google.
It also has an onmousedown handler that rewrites the URL to point at Google, so they can tell which link you clicked, to improve their ranking system. And Google works very closely with sites to make sure the sites know how to understand the referrals.
