You are looking at the HTML representation of the XML format.
HTML is good for debugging, but is unsuitable for application use.
Specify the format parameter to change the output format.
To see the non HTML representation of the XML format, set format=xml.
See the complete documentation, or API help for more information. 
<?xml version="1.0"?>
<api>
  <query-continue>
    <links plcontinue="1|0|Example_Widgets" />
  </query-continue>
  <query>
    <pages>
      <page pageid="1" ns="0" title="Main Page">
        <links>
          <pl ns="0" title="Blinging for chumby" />
          <pl ns="0" title="Chumby Flash Tutorials" />
          <pl ns="0" title="Chumby Software Applications, Scripts and Tools" />
          <pl ns="0" title="Chumby and music" />
          <pl ns="0" title="Chumby as a web server" />
          <pl ns="0" title="Chumby as an iPod server" />
          <pl ns="0" title="Chumby tricks" />
          <pl ns="0" title="Controlling BTplay" />
          <pl ns="0" title="Developing widgets for chumby" />
          <pl ns="0" title="Development tools" />
        </links>
      </page>
    </pages>
  </query>
</api>