[Adding an answer since the accepted one no longer works.]
GNOME Terminal has flip flopped several times on this subject.
This configuration feature was removed in gnome-terminal 3.14 (included in Ubuntu 15.04 Vivid)
Then in gnome-terminal 3.16 (included in Ubuntu 15.10 Wily), the option was reintroduced under the hood, but with no UI. In addition, colon
: was changed to be treated as a word separator.
Editing with dconf
Per these instructions, you can configure the set using dconf: https://bugs.launchpad.net/ubuntu/+source/gnome-terminal/+bug/1401207/comments/8
I like to use
-#%&+,./:=?@_~ as the set of non-word-separators.
Note that the use of colons there is /crazy/. Yes, there is :/: in there.
1) edit -> profile preferences -> the General tab on your profile has its Profile ID, e.g. b1dcc9dd-5262-4d8d-a863-c897e6d979b9
2) check you've got the syntax right with:
dconf list /org/gnome/terminal/legacy/profiles:/:b1dcc9dd-5262-4d8d-a863-c897e6d979b9/
If it returns nothing, you've got it wrong; try again.
dconf write /org/gnome/terminal/legacy/profiles:/:b1dcc9dd-5262-4d8d-a863-c897e6d979b9/word-char-exceptions '@ms "-#%&+,./:=?@_~"'
Specifically, this has ":" in, which makes it select URLs like I expect. (http://example.com doesn't select "//example.com").