With the latest version of Google's toolbar for Firefox and IE, you can set it to create new messages in GMail when you click an email address on a web page. But, confoundingly, it only works with Gmail — not the premium, $50-per-account-per-year Google Apps version of Gmail.
Fortunately the following blogs have instructions on how to hack the Toolbar very easily to point to your Google Apps account rather than Gmail.
Tokyo Genki Blog — Google Apps Gmail + Google Toolbar
RedPrimary — customise Google Toolbar for Google Apps Gmail (make sure you read the first comment posted as well — and follow the tip there.)