I couldn't find any code to do so on Growl's documentation (which IMO is pretty terrible), nor in the Perl libraries on CPAN. The most recently updated Perl module, Growl::GNTP doesn't show any code snippet that would enable custom displays, which is apparently how formatting links should be done.
I know though that it's possible to include hyperlinks in Growl notifications, despite what some say.
Perl or PHP code preferred.