Is there a plugin or hidden feature in Pidgin that parses HTML in chats? I couldn't find anything on the web.
Pidgin itself has a widget it calls "GtkIMHTML" or similar, which is used for the chat windows. It, as most chat services do these days, supports a subset of HTML for conversations, which is used for embedding images and such. It is however, not a full HTML/Browser engine.
DeWYSIWYGification Plugin 2.6.3 does what you wish. It can be reached via the pidgin-plugin-pack, usually installed via Synaptic and in the majority of the cases pre-installed with Pidgin itself.
After installing, simply enable in the "Plugins" section. It has nothing configurable but will work exactly as you wish...
Unfortunately, it only works uni-directional towards your contacts. Which means that your contacts will receive the links you send (as in your example to @dobey's comment) or any other html code you send.
I am sorry if this doesn't fix your need to "receive html" but I post this answer just if you find it useful.