Modules can include functions in their lib.php file called '[pluginname]_extend_navigation' and '[pluginname]_extend_settings_navigation' (search through the source code for examples), which add extra settings to the relevant blocks (navigation / settings).
You could also use your theme to override the navigation block renderer and add an extra link at the end (but you'd have to look in blocks/navigation/renderer.php to see what you need to override).