Using URLs in Widget Titles. Using the format TITLE||URL||TARGET, being target optional. Nice article with many methods: http://www.rvamedia.com/wordpress/customize-wordpress-widget-title

widget-title-with-urls.php

<?php
add_filter( 'widget_title', function( $title )
{   
    $pieces = explode( '||', $title );
	if( isset( $pieces[1] ) )
	{
		$target = isset( $pieces[2] ) ? "target='{$pieces[2]}'" : '';
		$new_title = sprintf(
			"<a href='%s' %s>%s</a>",
			$pieces[1],
			$target,
			$pieces[0]
		);
	}
	$return = isset( $new_title ) ? $new_title : $title; 
	return $return;
});