The Content Editor Web Part as we ship it in WSS and MOSS always stores URLs as absolute Links. That will cause problems as soon as you are extending a web application to multiple IIS websites or when using Alternate Access Mapping (AAM) to support multiple zones.
In these situations the CEWP will return the wrong URLs.
Maxime has now published an article how this can be corrected through a Control Adapter which allows to control the rendering of the Content Editor Web Part to ensure that it always returns relative links.
Sounds familiar to the posting from Waldek in May: http://blog.mastykarz.nl/inconvenient-content-editor-web-part/
Working around the CEWP’s absolute links…
[via Stefan Gossner & Maxime Bombardier ] The Content Editor Web Part, as many people have realized