Linking image field to an external URL
You can create a custom field formatter (theme function for fields) where you can define how the image field should be rendered. Here you can add the a tag or any other special markup.

There are a lot of guides on how to do this, both here on the site and on the web, so I won't go into details about how to create a field formatter here, but it's nothing more than a few hooks and a theme function.