I had a scenario where a user would submit a form, a workflow would create a supporting folder in a document library, and I wanted to create a link to that folder in the original list.
Wanted to document the steps to accomplish it:
1. In your list where you want the link to be displayed, make a new Hyperlink or Picture column.
2. In your SharePoint Designer workflow, create a Workflow Variable and set it to the following, making sure NOT to include the http:// before your url:
siteurl/site/[% Dynamic Token %], Link Text to Display
NOTE: The comma is the separator from what the href value will be and what the text displayed will be.
3. Set the Field Value in your list to the Workflow Variable.