Starting simple, adding a Office UI Fabric Link component to your web part takes no time at all.
Ensure you have the right import in your code:
import { Link } from 'office-ui-fabric-react/lib/Link';
In the render method, add the Link component. There are several ways to use a link in the properties, here I use onClick to execute some code:
return <Link onClick= { this._linkClicked.bind(this) }>Click me</Link>;
For example:
private _linkClicked(): void { alert('Clicked'); }
Take a look at the Office UI Fabric site to discover more.