Use an <intent-filter> with a <data> element. For example, to handle all links to twitter.com, you'd put this inside your <activity> in your AndroidManifest.xml:
Code:
<intent-filter>
<data android:scheme="http" android:host="twitter.com"/>
<action android:name="android.intent.action.VIEW" />
</intent-filter>
Then, when the user clicks on a link to twitter in the browser, they will be asked what application to use in order to complete the action: the browser or your application.