I've created ECM NewsLetter with some links to site (another Items). In online version of NewsLetter links works fine, but when I've sent this NewsLetter to my email and tried to click on links from my mail Inbox it's displays 404 not found error. Base URL - The default address for all links configured properly. What am I missing? Maybe some configuration? I appreciate any help you can provide.
Several things to check here:
Most likely source is that the campaign item that gets created when the email is sent is not published.
If the campaign is published then check the goal that gets installed as part of the ECM module is published: /sitecore/system/Marketing Center/Goals/Click Email Link
The way to test the source of the problem is to search for the guids in the link querystring - the ec_camp part of the querystringis the guid of the campaign. Search for this in your content delivery web databse - if this exists then check the goal mentioned above. The ec_as value is the value used to identify the user in the analytics db. This wont exist in your sitecore tree.
finally if both of the above work then follow this set up guide and ensure all the relevant ECM pages are installed properly on your CD servers - including the connection string to the ECM service that handles all tracking and link processing: http://www.sitecore.net/learn/blogs/technical-blogs/sitecore-magnified/posts/2013/09/ecm-on-cd.aspx