This is how I implement this type of functionality, feel free to disagree with me:

1. Request comes in for page /somepath/index
2. Query to OData to get /Pages()?$filter=Url eq '%2Fsomepath%2Findex'
3. Potentially use a $expand(PageContent) on that URL so that it brings the presentation content as well
4. Load the PageContent, it's been escaped because Tridion cannot guarantee the output of templates are well-formed, so parse it in XML, probably with a strong domain model
5. From there on, build my page.

EDIT

Tridion Component links that are part of the content are resolved, as long as the output from the Tridion publisher is converted to a <tcdl:Link> object. Something called "REL" - Render Engine Language - will convert those <tcdl:Link> to the actual result.

This is how I implement this type of functionality, feel free to disagree with me:

1. Request comes in for page /somepath/index
2. Query to OData to get /Pages()?$filter=Url eq '%2Fsomepath%2Findex'
3. Potentially use a $expand(PageContent) on that URL so that it brings the presentation content as well
4. Load the PageContent, it's been escaped because Tridion cannot guarantee the output of templates are well-formed, so parse it in XML, probably with a strong domain model
5. From there on, build my page.

EDIT

Tridion Component links that are part of the content are resolved, as long as the output from the Tridion publisher is converted to a <tcdl:Link> object. Something called "REL" - Render Engine Language - will convert those <tcdl:Link> to the actual result.

EDIT 2

That same query for the pages could also be written like this:

var page = (from p in contentdeliveryservice.Pages
           where p.Url == '/somepath/index'
           select p).First();