Get first taxonomy term for post - and add a link
$terms = get_the_terms( $post->ID, 'mytaxonomy' );
//returns an array of taxonomy term objects, so
$term = array_pop($terms);
//Would give you the first term in the array. And then:
echo '<a href="'.get_term_link($term->slug, 'mytaxonomy').'">'.$term->name.'</a>'