[troyb]

It isn't in the Context menu but there is an option for this in the File menu "Open Selected URL". It has a keyboard shortcut of ⇧⌘U.

There is also a service option for "Open URL in OmniWeb" that lets you do this in any application (And it gets a keyboard shortcut of ⌘U but is frequently taken by other services particularly if you have other browsers installed).