An url shortener allows you to create shorter URL’s and (sometimes) keeps track of how many times a link has been clicked. On the other hand, relying on third party services may have quite a few side effects.
According to Jeffrey Zeldman the solution is rolling your own mini-URLs [which]
lessens the chance that your carefully cultivated links will rot if the third-party URL shortening site goes down or goes out of business
If you are running for WordPress there are two solutions available, both in the form of installable plug-ins.
One is the Short URL Plugin which Zeldman recommends.