Yes and no, depending on what you are after.
In photoshop you can drag out a slice onto your document then in the top tool bar click the properties icon and set it's url. This will make that area linkable.
Keep in mind that photoshop only supports rectangular slices, it does not uses shapes for slices.
You can also do a link manually in any text editor.
<a href="http://www.example.com/">some text</a>
or
<p><a href="http://www.example.com/"><img style="border: none" src=""http://www.example.com/image/sample-image.jpg"
alt="sample image (10356 bytes)" /></a></p>