I hate the fact that Excel automatically changes a URL to a hyperlink when you click on it or want to cut and paste.
To get round this abysmal behaviour (I have Excel 2003):
Tools / AutoCorrect Options / "AutoFormat as you type" / Uncheck "Internet and network paths with hyperlinks".
Another way is to simply type an apostrophe in front of the URL.
If you already have the damn things, you can right click and "Remove Hyperlink".
For multiple ones (as per the Help file):
Type the number 1 in a blank cell, and right-click the cell.
Click Copy on the shortcut menu.
While pressing CTRL, select each hyperlink you want to deactivate.
No more damn hyperlinks!