A link will look like this by default (in all browsers):
A blue-underlined link has not been viewed.
A clicked link appears purple and underlined.
A link that is active is highlighted in red.
Using CSS, you may alter the link state colors:
Example
An unvisited link in this case will be green and ununderlined. A clicked link will have no underlining and be pink. A link that is active will be highlighted in yellow. Furthermore, a link (a:hover) will highlight and turn red when you mouse over it.
Link Buttons
Using CSS, a link can also be stylized like a button: