How to add a link to a spreadsheet cell using Google Apps Script

RANGE.setFormula plus HYPERLINK Formula should get you what you want.

var ss = SpreadsheetApp.getActiveSpreadsheet();
var sheet = ss.getSheets()[0];

var cell = sheet.getRange("B5");
cell.setFormula('=HYPERLINK("http://www.google.com/","Google")');

I ran into this problem today. Here is my solution. This is ES6, so you need to be running the new V8 Engine for Apps Script. This function is specifically for a selected range of cells.

function hyperlink(){
  var activeSheet = SpreadsheetApp.getActiveSheet();
  var a1 = activeSheet.getSelection().getActiveRange().getA1Notation();
  var values = activeSheet.getRange(a1).getValues();
  var hyperVal= values.map(row=> row.map(col=> `=HYPERLINK("${col}","${col}")` ));
  activeSheet.getRange(a1).setValues(hyperVal);
  activeSheet.getRange(a1).setShowHyperlink(true); /* I initially just tried doing this, but without setting the HYPERLINK formula, it did nothing */
}

As of June 2020, there's the option to set the rich text link url. So now you can do the following:

const sheet = SpreadsheetApp.getActiveSheet();
const rangeToBeLinked = sheet.getRange('A2');
const rangeToAddLink = sheet.getRange('D32')
const richText = SpreadsheetApp.newRichTextValue()
    .setText('Click to go to ' + rangeToBeLinked.getA1Notation())
    .setLinkUrl('#gid=' + sheet.getSheetId() + '&range=' + 'A' + rangeToBeLinked.getRow())
    .build();
rangeToAddLink.setRichTextValue(richText);

The result is a cell with a text that contains a link to the web that you establish. Very different from the HYPERLINK function that ultimately leaves a formula inside the cell that allows redirecting to another page.