Terminal emulator left-click to open link

urxvt is probably the single most configurable emulator out there. Install it with

sudo apt-get install rxvt-unicode

Then edit the ~/.Xdefaults file adding the following:

URxvt.perl-ext-common: default,matcher
URxvt.urlLauncher: xdg-open
URxvt.matcher.button: 1
URxvt.matcher.pattern.1: \\bwww\\.[\\w-]\\.[\\w./?&@#-\[\]]*[\\w/-]

Using xdg-open allows you to use whatever browser you have specified in system settings (works for Gnome at least, unsure about KDE). Unfortunately, the default looks of urxvt are not, shall I say, very convincing, it's more like the old xterm than the modern gnome-terminal, and the configuration runs through config files rather than context menus. There is a tutorial on how to configure it, however.

Personally, I don't mind such configuration mode, in my experience you rarely want to reconfigure your terminal.