Is it valid XHTML / good practice to have links of the following form? //www.example.com/foo/bar.html
If the current page is HTTP, then the link points to: http://ww
Is it valid XHTML
Completely. XHTML doesn't care about the syntax of URIs. The href attribute is defined as containing CDATA.
valid in XHTML 1.1 Strict?
There is no such language.
XHTML 1.0 has Strict / Transitional / Frameset versions.
XHTML 1.1 is just XHTML 1.1. (And isn't blessed by rfc2854 for serving as text/html (which you need for IE < 9 support)).
And, is it supported by many/all browsers?
Yes. Support is fine.