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|Old_Links" />
  </query-continue>
  <query>
    <pages>
      <page pageid="1" ns="0" title="Main Page">
        <links>
          <pl ns="0" title="BPRD: Iron and White Lilies" />
          <pl ns="0" title="City of the Damned: New Orleans" />
          <pl ns="0" title="Current events" />
          <pl ns="0" title="Emerald Twilight" />
          <pl ns="0" title="Future Imperfect" />
          <pl ns="0" title="Into the Expanse" />
          <pl ns="0" title="Lapsed Players" />
          <pl ns="0" title="Lost Tales of Runners Fore" />
          <pl ns="0" title="Memorable Quotes and Moments" />
          <pl ns="0" title="Milwaukee by Night" />
        </links>
      </page>
    </pages>
  </query>
</api>