epubs may contain hyperlinks, yes, but ereaders may not necessarily be able to follow them. hyperlinks are sometimes used for footnotes (one link goes to the footnote and another takes you back to where you came from), but not all readers support that either.
better to put down the URL verbatim like you would do with regular printed books
so do <a href="http://yoururl">http://yoururl</a> instead of <a>Click here!</a>