Well known is the fact that you can add a URL to an iCal entry by pasting it into the URL section. However, if you drag and drop the URL to a given day, a new event is created with the URL surrounded by angle brackets (< and >). Now if you click on that event, the URL is opened immediatly.
This can be combined with this tip to link to local files, although this is a little bit trickier, because you can't drag the file directly to iCal.
[robg adds: The hint did not include the solution for creating clickable file links, so here's one method that workd. First open the directory containing the target file or folder in Firefox (or another browser that supports file browsing; Safari now seems to open local folders in the Finder). Then drag the linked file or folder from Firefox to an empty portion of day to create a clickable linked event.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20060113094651714