Clicking on web-links (http:// or www.) will open a window to copy the link to your clipboard.
Mumble, Teamspeak, Ventrilo, Skype, e-mail and BattleTags are also supported.
You can also Alt-click hyperlinks (items, spells, etc) in chat to make web-links for them.
That way you can instantly create a link for the wowhead page of an item or even just simple google search by it's name.
Search-providers supported for hyperlinks: Google, Bing, Yahoo, Wowhead, WowDB, Battle.net, Buffed.De, JudgeHype.
Example: If you Alt-click an hyperlink (i.e [Epic Sword of awesome]) in chat. You will then be shown a direct link to that item's page on Wowhead.com