When I'm reading a block of text (in a product description, messageboard post, etc.) I frequently miss noticing links because they're not underlined and their color is not very distinct from the plain text color (black). It's not an issue for things like navigation blocks where just about everything is a link, or for generated tabular content in which you know where to expect links.
Given a choice, I'd prefer having them underlined instead of brightly colored. I overrode the settings in my browser to use the default link colors, and they're a bit jarring compared to the rest of this site's style.
For what it's worth, I use LCD displays exclusively; maybe the color change is less subtle on CRTs? Does anybody else find links in plain text hard to spot? I stuck a link in this post, and I still almost missed it, despite knowing where it is.