Did you include it in the hyperlink panel?
Did you explicitly check to export hyperlinks and interactivity.
1) Yes, it's in the hyperlink panel - and it shows the correct address there. Further, if I click the link in the pdf document, it brings me to Amazon (with a 404 document as page title with a message:
Looking for something?
We're sorry. The Web address you entered is not a functioning page on our site
If I copy what's in the URL bar, however, and paste it into the URL bar on another tab, that opens the page correctly.
So it seems like Amazon is simply refusing to follow the link, because it's coming from In Design.
I just did a test now, an if I edit the link inside of Adobe Acrobat (remove the 'http" and then add it back, and then re-save the document, the navigation works fine.
2) CS6 allows me to explicitly save as Interactive pdf - I didn't see a specific option to export hyperlinks, though my other links are working and even the broken ones navigate to amazon, just not the correct page.
So I have simple enough workaround by re-saving through Acrobat Pro, but I'm curious to whether this is a bug or if I'm just not doing something quite right inside of InDesign (and I hope to use I.D. more in the future so would like to work this out)
I just did a quick test. Just copy/pasted the link to an .indd new file and exported it to interactive. The link works fine. What version of CS6 do you have? The latest is 8.1.