When you create slice an image in Photoshop and save for the web, you cam select the type of image that is created/exported for each slice in the Save for Web dialog options. Just select the individual slice, and choose the desired format form the options.
As for linking text… the slice tool will allow you to add a URL to a slice, which is exported as a graphic, but not as text. On Windows, you can add a link by right-clicking on a slice with the slice or slice select tool, and choosing Edit Slice Options.
Note however, that in order to have a working link, you’ll need to export your slices with the html format. There is no link attached to the actual exported image, since this isn’t how HTML works. All links are created in the actual html code. So having a user open the image in some program that isn’t a werb browser will do nothing. Likewise, displaying the image directly in a web browser will do nothing. For the link to work, the user will need to open the exported html page.