This is a simple enough trick, I think it must have been suggested previously, but it was new to me. I don't know if this hint applies to systems prior to 10.5.6.
Mail.app's preferences do not allow attaching links to signatures on the Signatures preferences tab, but will accept pastes containing linked text and graphics. I wanted a graphic in my signature that when clicked would open a new mail window with my address in the To header.
Instead of creating a signature in Mail.app's preference pane, I used a new message composition window (File » New Message), dragged in a graphic file, and added a mailto:myemail@mywork.com link to the graphic with Edit » Link » Add. I then selected and copied the linked graphic, and pasted it into a new signature on the Signature tab of Mail's preferences panel. The new signature retained the graphic and its link.
I suggest using a png or jpg image, rather than a tiff (which is the default for the OS X clipboard), so your message isn't excessively large -- tiff files are sizable. If you create your graphic and save it in a compressed format, you can drag the file containing the graphic to the new message window in Mail.app; Mail will retain the image's compressed format.
[robg adds: When I tested this, it worked, but I couldn't use Edit Link in the Signature window's contextual menu. Any attempt to edit the pasted image/link would simple remove the image completely.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=200904200814240