Add custom link when using field_get_field
Problem with that module is that you have to define a token or fixed link. I am writing code that create a link on the fly, that can change in time.

For example: displaying the image of a taxonomy term, with a link to the last added node having this term. 

The easiest solution:
$image = render(field_view_field(……));
$output = l($image, $link, array('html' => TRUE));I

When I tried this earlier it wasn't working, because by default the HTML option is set to false, displaying HTML code instead of rendered HTML code.