Footnotes in Tabulars?

Use the tablefootnote package and \tablefootnote{...} inside the table:

\documentclass{article}
\usepackage{hyperref}
\usepackage{tablefootnote}
\begin{document}
\begin{table}
\centering
\begin{tabular}{ c  c }
Test1\tablefootnote{Footnote 1} & Test2\tablefootnote{Footnote 2} \\ 
\end{tabular}
\caption{This is a table.\label{FirstTable}}
\end{table}

A pagebreak:

\pagebreak

and a second page, so that you can see that the hyperlinks really work.

\end{document}

\listfiles result:

     *File List*
 article.cls    2007/10/19 v1.4h Standard LaTeX document class
  size10.clo    2007/10/19 v1.4h Standard LaTeX file (size option)
   float.sty    2001/11/08 v1.3d Float enhancements (AL)
placeins.sty    2005/04/18  v 2.2
rotating.sty    2009/03/28 v2.16a rotated objects in LaTeX
graphicx.sty    1999/02/16 v1.0f Enhanced LaTeX Graphics (DPC,SPQR)
  keyval.sty    1999/03/16 v1.13 key=value parser (DPC)
graphics.sty    2009/02/05 v1.0o Standard LaTeX Graphics (DPC,SPQR)
    trig.sty    1999/03/16 v1.09 sin cos tan (DPC)
graphics.cfg    2010/04/23 v1.9 graphics configuration of TeX Live
  pdftex.def    2011/05/27 v0.06d Graphics/color for pdfTeX
infwarerr.sty    2010/04/08 v1.3 Providing info/warning/message (HO)
 ltxcmds.sty    2011/04/18 v1.20 LaTeX kernel commands for general use (HO)
  ifthen.sty    2001/05/26 v1.1c Standard LaTeX ifthen package (DPC)
hyperref.sty    2011/12/04 v6.82m Hypertext links for LaTeX
hobsub-hyperref.sty    2011/04/23 v1.4 Subsetting bundle oberdiek (HO)
hobsub-generic.sty    2011/04/23 v1.4 Bundle oberdiek, subset generic (HO)
  hobsub.sty    2011/04/23 v1.4 Subsetting bundle oberdiek (HO)
ifluatex.sty    2010/03/01 v1.3 Provides the ifluatex switch (HO)
  ifvtex.sty    2010/03/01 v1.5 Detect VTeX and its facilities (HO)
 intcalc.sty    2007/09/27 v1.1 Expandable calculations with integers (HO)
   ifpdf.sty    2011/01/30 v2.3 Provides the ifpdf switch (HO)
etexcmds.sty    2011/02/16 v1.5 Avoid name clashes with e-TeX commands (HO)
kvsetkeys.sty    2011/06/15 v1.14 Key value parser (HO)
kvdefinekeys.sty    2011/04/07 v1.3 Define keys (HO)
pdftexcmds.sty    2011/07/28 v0.19 Utility functions of pdfTeX for LuaTeX (HO)
pdfescape.sty    2011/04/04 v1.12 Implements pdfTeX's escape features (HO)
bigintcalc.sty    2011/01/30 v1.2 Expandable calculations on big integers (HO)
  bitset.sty    2011/01/30 v1.1 Handle bit-vector datatype (HO)
uniquecounter.sty    2011/01/30 v1.2 Provide unlimited unique counter (HO)
letltxmacro.sty    2010/09/02 v1.4 Let assignment for LaTeX macros (HO)
 hopatch.sty    2011/06/24 v1.1 Wrapper for package hooks (HO)
xcolor-patch.sty    2011/01/30 xcolor patch
atveryend.sty    2011/04/23 v1.7 Hooks at very end of document (HO)
atbegshi.sty    2011/01/30 v1.15 At begin shipout hook (HO)
refcount.sty    2011/06/22 v3.3 Data extraction from label references (HO)
 hycolor.sty    2011/01/30 v1.7 Color options for hyperref/bookmark (HO)
 ifxetex.sty    2010/09/12 v0.6 Provides ifxetex conditional
kvoptions.sty    2010/12/23 v3.10 Keyval support for LaTeX options (HO)
  pd1enc.def    2011/12/04 v6.82m Hyperref: PDFDocEncoding definition (HO)
hyperref.cfg    2002/06/06 v1.2 hyperref configuration of TeXLive
     url.sty    2006/04/12 v3.3 Verb mode for urls, etc.
 hpdftex.def    2011/12/04 v6.82m Hyperref driver for pdfTeX
rerunfilecheck.sty    2011/04/15 v1.7 Rerun checks for auxiliary files (HO)
tablefootnote.sty    2012/01/01 v1.0f Table foot notes (HMM)
etoolbox.sty    2011/01/03 v2.1 e-TeX tools for LaTeX
    etex.sty    1998/03/26 v2.0 eTeX basic definition package (PEB)
supp-pdf.mkii
epstopdf-base.sty    2010/02/09 v2.5 Base part for package epstopdf
  grfext.sty    2010/08/19 v1.1 Managing graphics extensions (HO)
epstopdf-sys.cfg    2010/07/13 v1.3 Configuration of (r)epstopdf for TeX Live
 nameref.sty    2010/04/30 v2.40 Cross-referencing by name of section
gettitlestring.sty    2010/12/03 v1.4 Cleanup title references (HO)

The usual advice is not to have 'standard' footnotes in tables: if the float ends up on a different page to the footnotes then things are very confusing. With that important proviso, an approach which can be taken is to save the footnotes in the table environment and reinsert them afterwards. You could overwrite the standard \footnote macro to do this, but I feel it's best not to. A possible approach:

\documentclass{article}
\newcommand*{\savedfootnotes}{}
\newcommand*{\resetsavedfootnotes}{\global\let\savedfootnotes\empty}
\newcommand{\tablefootnote}[1]%
  {%
    \footnotemark
    \xdef\savedfootnotes%
      {\unexpanded\expandafter{\savedfootnotes}\noexpand\footnotetext{#1}}%
  }
\edef\endtable%
  {%
    \aftergroup\noexpand\savedfootnotes
    \aftergroup\noexpand\resetsavedfootnotes
    \unexpanded\expandafter{\endtable}%
  }
\usepackage{lipsum}
\begin{document}
\lipsum[1]
\begin{table}
  \begin{tabular}{c}
    A \\
    B\tablefootnote{Stuff} \\
  \end{tabular}
\end{table}
\end{document}

Use ftnxtra package:

\documentclass{article}
\let\mytabular\tabular
\let\endmytabular\endtabular
\usepackage{ftnxtra}
\let\tabular\mytabular
\let\endtabular\endmytabular
\begin{document}
\begin{table}
\centering
\begin{tabular}{|c|c|}\hline
One&Two\\ \hline
Three\footnote{This is a footnote.}&Four\\ \hline
\end{tabular}
\caption{This is a table.}
\end{table}
\end{document}