Creating Links in Unity
This is extremely simple to do but may not be obvious at first. For my purposes I wanted a clickable label that opened my website. To do this you need to create a button and change it's GUIStyle to use your label's GUIStyle. Then use Unity's Application.OpenURL function to actually open a web page.
This works great in most cases but my Facebook app used an iFrame to display its content. When I used Application.OpenURL it loaded my website inside of Facebook and looked awful. Thankfully Unity can execute custom JavaScript from the webplayer using Application.ExternalEval. Using this I was able to open a new window.
However this method has a downside. Since JavaScript is opening the new window, any browsers with pop-up blockers enabled will prevent the window from opening. Safari and Chrome do not notify the user if a pop-up was blocked, so those users will have no idea that it even tried opening a website. FireFox, IE, and Chrome notify the user that it prevented a window from opening and give the option to allow it. And of course if they have pop-up blockers disabled then you're fine.
If you don't mind taking the player away from your game page, then you can use a JavaScript redirect. Below is an example of handling a redirect in a normal window as well as handling a redirect from within an iFrame like Facebook.
This should cover most situations. If you have any questions, feel free to contact me.