From *very* limited testing, the following seems like it *might* work:

  print "<b>$key characters</b><br/>",
    join(", ", 
      map{ '<a href="link.pl?=' . $_ . '">' . $_ . '</a>' } 
        @{$hash{$key}}
    ), 
    "<br/>" x 2;
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(Translation: map() processes each element in @{$hash{$key}}, returning to the join() for each a value set to <a href="link.pl?=$_">$_</a> .)

Hope that helps.