When Link is in his "exploring" mode he is sniffing and licking his nose constantly. I recently read a book called "Inside a Dog" that explains the habit a little. When animals are hunting/exploring/curious about a new smell, they tend to pick up scent particles on their noses and most lick their nose to taste the smell as well. With dogs, it is an easier way to get a more indepth "look" at the smell.
I think this would apply to most animals. I know cats do it as well and my hamsters do it while exploring the couch.