I'm also against the auto links in thread posts. I do like Sander's suggestion of using keywords outside the posts themselves. As others have mentioned, members would feel a certain amount of control over their posts had been taken away. Granted, they do not 'own' the content but people do view it as such. I think I would be annoyed with it and it definitely would not be useful in most of the threads in Off Topic that mention locations.
Auto linking could actually draw attention away from any given thread too. Someone begins reading it, reaches the link and clicks off the page. I can see people becoming distracted by the guide at that point and then not return to the thread. Possibly a page where they had intended to post a comment originally.