There certainly is. Say you want a hyperlink in cell A1. In cell A1 click Insert, Hyperlink and press the Bookmark button. Then type A1 in the Cell Reference box. Click OK and OK again. Now right click the worksheet tab and choose View Code. Paste this:-
Private Sub Worksheet_FollowHyperlink(ByVal Target As Hyperlink)
YourMacroName
End Sub
Where YourMacroName is probably stored in a standard module.
HTH,
Dan