Previously when you had a link (URL) in Terminal you always had to copy/paste or right-click and choose 'Open link' to open it in your default browser.
In Lion, you can simply hold down the Command key and double click the link and it will open in your default browser.
[crarko adds: Confirmed. I really love little touches like this.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20110911122108326