Clickthrough reports are the special kind of drillthrough reports created by Report Builder. They are "special" because they are linked to the parent report automatically, and are generated on the server from special template reports (or from a built-in template if you haven't specified your own yet).
The key value behind Clickthrough reports is that they add tremendous interactivity and depth to every single report you create, without an ounce of effort by the report author. Another, often overlooked advantage is the opportunity to greatly enhance the drillthrough experience across all your reports, by designing rich, custom Clickthrough report templates to be used instead of the built-in ones.
The restrictions on Clickthrough report templates are few. Most importantly, they do not need to be designed in Report Builder (although it's usually a good idea to start there since RB can do some of the basic wiring for you). Instead, you are free to use the full power of RDL in the Visual Studio Report Designer to build rich, powerful detail and summary reports. The exciting part is that your investment here will be leveraged so widely by report authors and consumers. Every Report Builder report will contain Clickthrough links that lead users to these reports to display key information about the data they are looking at.
One final point -- we lamentably failed to include support for external hyperlinks in the initial release of Report Builder. However, this restriction does not apply to Clickthrough reports designed in Report Designer, so building custom Clickthrough templates is a great way to link the Report Builder experience to external applications (e.g. click here to edit this Customer record in MyCRMApp, or click here to process this Invoice, etc.).
Okay, one final final point -- when designing a single-instance Clickthrough report, make sure you use a data region (e.g. List) even though the report will only display values for a single record. Using top-level textboxes without a data region can make the report slower.