In the Google document editor, it's super easy to insert a link. Just hit the 'link' button, type the URL and link text and your done. Or even better, type the link text direct into your document, select it and press CMD-K (CTRL-K on a PC).
In Google spreadsheets, there's no such button. Happily it is still possible, though rather more fiddly.
Select a cell and type:
=HYPERLINK("http://www.example.com/link"; "Link Text")
The link will appear, and it will behave exactly the same as links in Google Docs. I'm looking forward to Google adding a button to make this easier.
