I, too, would love to hear more about the format field if anyone has insight!
That said, the way I've solved this when using the grid component was to alter the data in the field I wanted to be a hyperlink. I would run the collection through a for each and use a merge text component to add the correct html '<a href=' type data to the front and '</a>' to the end. In some cases I've even gone a step farther towards lunacy by using the sql query from custom components to add that in instead. Obviously that's only wise if I feel that the data will only be used in such a grid, but it did save more a for loop.
If there's a better way to do it, I'd love to hear it.