WordPress makes no obvious provision to add links or captions to your featured images. Fortunately it turns out to be quite simple. Here’s the thumbnail code that I use:

<div class="thumb wp-caption">
<a href="<?php the_post_thumbnail_url(); ?>" class="fancybox"><?php the_post_thumbnail(); ?></a>
<div class="wp-caption-text"><?php echo get_post(get_post_thumbnail_id())->post_excerpt; ?></div>
</div>