You can add anchor tag link in success message, an error message or any notification message in Magento 2 by addSuccessMessage( ), addErrorMessage( ) and addNoticeMessage( ) respectively.
Let’s add a link to the Shopping cart of a product successfully added to the cart.

Be aware
addSuccess( )is a deprecated function.@amit_merchant:disqus Thanks for inform the deperecated function. I have updated the article.