Even though the advice is from 2004, useit.com's article "Guidelines for Visualizing Links"

http://www.useit.com/alertbox/20040510.html

appears to offer more user-friendly advice (perhaps because it is based on more thorough usability research) than the advice in the article kindly submitted here.

The Top Ten Mistakes in Web Design" article

http://www.useit.com/alertbox/9605.html

(updated 2011) says one of the top ten mistakes is "3. Not Changing the Color of Visited Links." I have to agree.