Assuming your values are in column A, you can do this in column B:

=HYPERLINK(CONCATENATE("http://mywebsite.com?id=",A1);"link text")

Then you can auto-fill down the rest of the column.

If you want the text of the link to be the same as the id you're linking, that's as simple as

=HYPERLINK(CONCATENATE("http://mywebsite.com?id=",A1);A1)

When you switch to a different sheet in Google Spreadsheets, pay attention to the URL in your browser's address bar. At the end of the URL you should see something like:

#gid=0

This number changes when you switch sheets, and specifies which sheet to display. Copy the entire URL and create a hyperlink to it with this formula:

=hyperlink("https://docs.google.com/spreadsheet/ccc?key=0AsaQpHJE_LShcDJ0dWNudHFZWVJqS1dvb3FLWkVrS0E#gid=0", "LINK TEXT")

With a script

I've thought about this question a lot since I first wrote this answer, and I came up with a solution that involves a script.

With the spreadsheet open, click the Tools menu, then Script editor.... Paste all this code into the editor:

function onOpen(event) {
  var ss = event.source;
  var menuEntries = [];
  menuEntries.push({name: "Go to sheet...", functionName: "showGoToSheet"});
  ss.addMenu("Tasks", menuEntries);
}

function showGoToSheet() {
  var ss = SpreadsheetApp.getActiveSpreadsheet();
  var allsheets = ss.getSheets();
  var app = UiApp.createApplication();
  app.setTitle("Go to sheet...").setWidth(800).setHeight(600);
  var table = app.createFlexTable();
  table.setCellPadding(5).setCellSpacing(0);
  var goToSheetClick = app.createServerHandler('handleGoToSheetClick');
  var widgets = [];
  for (var i = 0; i < allsheets.length; i++) {
    var sheet_name = allsheets[i].getName();
    widgets[i] = app.createHTML(sheet_name).setId(sheet_name).addClickHandler(goToSheetClick);
    table.setWidget(i, 1, widgets[i])
  }
  var panel = app.createSimplePanel();
  panel.add(table);
  app.add(panel);
  ss.show(app);
}

function handleGoToSheetClick(e) {
  var sheet_name = e.parameter.source;
  var ss = SpreadsheetApp.getActiveSpreadsheet();
  var sheet = ss.getSheetByName(sheet_name);
  sheet.activate();
  var app = UiApp.getActiveApplication();
  app.close();
  return app;
}

Save the script, then refresh the spreadsheet. After a second or two a new menu, Tasks, will appear after Help. There is one item in this menu: Go to sheet...

This menu item will open a panel with a list of names of all the sheets in the current spreadsheet. It doesn't look like it, but if you click on one of the sheet names, that sheet will come to the front.

As an answer to another question, this script was improved to include a scrollable view and buttons.

Yes, the direct link is: https://docs.google.com/spreadsheets/create It works for me.