Add link option to featured image?

you can do that in many ways , for example :

 add_filter( 'admin_post_thumbnail_html', 'add_something_to_feature_thumb_box');
    function add_something_to_feature_thumb_box( $myhtml ) {
        return $myhtml .= '<p>Put your HTML here - if you want a form, put the form.</p>';
    }

or (better IMHO) :

function replace_post_thumbnail_box() {
        global $post; // get post

        echo '<p> if you want custom field above place code here .</p>';

        $thumbnail_id = get_post_meta( $post->ID, '_thumbnail_id', true ); // thumbnail ID from post array
        echo _wp_post_thumbnail_html( $thumbnail_id );

        echo '<p>if you want custom field below place  code here .</p>';
}
function render_new_post_thumbnail_meta_box() {
        global $post_type; 

        // get rid of the old  box..
        remove_meta_box( 'postimagediv','post','side' );

        // ..and render the new one
        add_meta_box('postimagediv', __('Featured Image'), 'replace_post_thumbnail_box', $post_type, 'side', 'low');
}
add_action('do_meta_boxes', 'render_new_post_thumbnail_meta_box');