If I were building it I would use our AdRotator control like I use at the bottom of this site:
<mp:AdRotator id="ads1" runat="server" AdvertisementFile="~/Data/mojocommon/adgroup1.xml" />
You just include it in the layout.master file of your skin and point it to an xml file. It consumes an xml file so building an admin ui would just involve building an editor that updates the xml file.
You can specify the url in the xml file.
However I don't really see a good easy way to make it possible to browse by feature for urls. I would just train the user how to right click a link and copy the url and paste it in the url for the ad. There are both page view permissions and feature instance view permissions to consider and resolving the url for content items would vary by feature and is complicated by the fact that some content can be on more than one page.
You might define a specific location where add images can be uploaded and make it easy to browse and upload the ad images and easy to select for an ad.
Hope it helps,