Jakob Nielsen presents non-standard link colors as third common mistake in his original top 10 usability mistakes in web design list from 1996. Just think about it, how many times when you browse a web site you have to search and guess where the links are and is a particular piece of text a link or not? This mistake is even more valid today than it was back in 90s because now there are plenty of possibilities and technologies, like CSS, to change the color and look of links. So sometimes links are made to look exactly like the rest of the text and then user is forced to play a game of "find every link from this page" which doesn't amuse the user at all. Links that are not visited by user should have a visible and consistent color (usually blue), visited links should have a clearly different color (usually purple, not just a bit different shade of unvisited link color) and links should be underlined.
Nowadays it seems sometimes that some web designers think the underlining of the being somehow beneath them and either don't underline the links at all or grudgingly try to compromise by putting the underline under the links only when users manage to point their mouse pointer over a link. Don't forget that quite big percentage of people have some sort of color-blindness and underlined links help these users a lot! When designing a web site you should therefore check that links have standard link colors (or at least distinct colors between unvisited links, visited links and body text) and that links are underlined. Also, if some of the links has to be for some reason or another opened into new window/tab, tell your user about it (either textually or by using an icon) in the descriptions of those links. Users don't like to be surprised by links that look the same and usually open in the same window but sometimes open in new window or tab.
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A blog promoting good usability and pointing fingers at bad usability
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