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|New_Jagged_Universe" />
  </query-continue>
  <query>
    <pages>
      <page pageid="1" ns="0" title="Main Page">
        <links>
          <pl ns="0" title="After War Gundam Another X" />
          <pl ns="0" title="Bullseye! Top Shooter Challenge" />
          <pl ns="0" title="Captain Power and the Soldiers of the Future" />
          <pl ns="0" title="Dimensional Travelers Stargate SG-1" />
          <pl ns="0" title="District 52" />
          <pl ns="0" title="Hyper Combining Centurion Force" />
          <pl ns="0" title="Macross Centris" />
          <pl ns="0" title="Matey Match" />
          <pl ns="0" title="MechDev Submissions" />
          <pl ns="0" title="Mobile Infantry Patlabor" />
        </links>
      </page>
    </pages>
  </query>
</api>