Considering that this hasn't really been posted before and that someone has just PMed me an urgent message demanding that I tell him how to do this, I have decided to make a topic specifying how exactly to make your images links.
Here's what you do:
Take the url adress you want the image to link to, and paste it in your sig, post, etc. Infront of it, put

then after it, put

It should look like this:

Now, upload your image.

Put the code after the url adress in your link.
It should look like this:
Now, put at the end of your link code.
It should look like this:

You can now click on the image.
*The codes of the url and the image should and will be different than mine.
**This isn't meant to be an advertisement. I had just made this, and it was the easiest to get to.

Edited (nfield/15 Jan 2007): Removed the massive links in your post. Do not paste links/codes that will stretch the screen.

I've always thought that making linking images was self explanatory one you knew how to make images and links, but I guess not for everybody.

This deserves to be stickied!

Why didn't we think to explain this before?

Nice FAQ though. It's quite well written.

Oops, sorry. I checked that, but I must have skipped it when I skimmed over the post. You can lock this if you don't think it necessary. Again, sorry.