You can also define custom clickable things via the "Smart Selections" feature. For instance I have all strings that match `\B#([0-9]{2,6})\b` open the page of that GH issue in my companies central issue tracker when they are cmd-clicked, and I have all strings that match `\bU\+([0-9a-fA-F]{2,6})\b` open up a details page for that unicode code point.
Terminal.app supports clicking URLs (cmd+double click). But what I want is to cmd+click (relative) file paths, with no URL scheme prefix. iTerm 2 supports this, and I miss it when I use Terminal.app.