Chris Pirillo points to some excellent tips on using links properly:

• Traditionally, links are underlined as well, but that approach is often unnecessary and falling out of favor to reduce visual clutter.
• Links lack affordance, which means their visual properties don’t suggest how they are used and are understood only through experience.
• Link text should indicate the result of clicking on the link.
• Use different colors for visited and unvisited links.
• Don’t use color for text that isn’t a link because users may assume that it is a link.
• Always show either an underline (for any link text) or a button frame (for command link text only) on hover to reinforce visually that the text is a link.
• Don’t underlined text that isn’t a link because users will assume that it is a link.
• Use background colors that contrast with the link colors.
• Use link text that is the most relevant part of the text and are large enough to be easy to click.
• Don’t provide an infotip [in HTML, a title element] that is merely a restatement of the link text.
• If a link requires further explanation, provide the explanation in either a separate text control or an infotip, but not both.
• Place optional supplemental graphics that indicates the target of a link to the right of the text and use an infotip to explain its meaning.
• Link to specific content rather than general content.
• Use a link only if the linked material is relevant, helpful, and not redundant.
• Link only on the first occurrence of the link text.
• Don’t add “Click here” to the link text. It isn’t necessary because a link implies clicking. Also, “Click here” and “here” alone are poor link text because they convey no information about the link when read by a screen reader.
• Start the link with an imperative verb and clearly describe the action that the link performs.
• Don’t use ending punctuation except for question marks.