Design Guidelines for Visualizing Links: A lot of really good guidelines for hyperlink usability that really boil down to one point: do links the way HTML was built to handle them and you won’t have any problems. Ninety-nine percent of usability problems on the Net are a result of people trying to get cute.
Don’t underline any text that’s not a link, even if your links aren’t underlined. Reserve underlining for links. Because underlines provide a strong perceived affordance of clickability, users will be confused and disappointed if underlined text doesn’t have an actual affordance to match this perception.