FrameMaker's gotolink/gotopage hypertext markers won't be of any use if you want to define links to specific pages in external PDFs (for example, PDFs provided by vendors or authored in other applications). Adding the links or bookmarks manually in your PDFs means that this effort will have to be repeated every time you update your PDFs. But with the ~PdfPageLink or ~PdfPageBmk TimeSavers shortcuts, these actions can be defined in your FrameMaker file, once. Upon distilling, your PDFs will have links or bookmarks which open the target file at the specified page, in the same window or in a new window. The FrameMaker definition will have to be updated only if page location in the external PDF changes.
Links to help files: Defining links or bookmarks to open help files (hlp/chm) in specific topics is not possible even if you are willing to do it manually, but this can be done easily with the TimeSavers' ~helplink/~helpbmk or ~CHMlink/~CHMbmk custom shortcuts.