I experimented with exactly this just yesterday. It seems you can't include a nicely formatted hyperlink, unfortunately. I hope to be proven wrong by somebody else, though :-)
However, as you've probably seen yourself, iPhone is able to recognize an URL and you can tap on it to open the URL in Safari (or tap the disclosure button next the message to get more options on what to do with the URL). As far as I can tell the only thing you can do is format your SMS accordingly: "I have a surprise for you: http://foo.com" even though that might spoil the surprise ;-)