I think it would be a nice feature to be able to set the Href attribute in the ElementExporting event:

private static void GridView_ElementExporting(object sender, GridViewElementExportingEventArgs e)
{
    if (e.Element == ExportElement.Cell)
    {
       // Set a hyperlink, e.g.
       e.Href = "http://www.telerik.com/account/support-tickets/view-ticket?threadid=" + e.Value;
    }
}

Additionally, it would be even better to have a DependencyProperty Href in GridViewDataColumn, so I could Bind a Hyperlink directly in XAML or Code-Behind.