If you want the image to appear in the visual editor, you might look at modifying the tinyMCE editor. Perhaps a toolbar button that is clicked when an image is selected that prompts for the link URL and wraps the image tag with the link. I've no experience modifying the editor but I know people do it all the time.
Another possibility would be to alter the WP Media Library using jQuery to insert an additional field when inserting an image. The real trick would be to alter what HTML gets placed in the editor when the "Insert into Post" button is clicked. The form goes to an admin page, maybe there's a filter there you can hook to achieve this. Worth further investigation?
Sorry I can't give you a specific path to follow. Hopefully my half baked ideas at least get you started in a direction.