Since Nelson and I have both been grousing about Mac OS X's Terminal.app, I did some more research. Command-doubleclick will open an URL in Terminal.app, but only if the URL is one line long. Here's a better solution:
Update: I updated the suggested "word" line after finding a few holes and resorting to reading RFC 2396. I omitted '!', "'", "(", and ")" because I think those would cause more parse errors than they would solve in this context.