Resist the temptation. It's hard. But there's a good reason to leave them alone.
From the earliest days of the web, text links have been blue. People intuitively recognize that blue, underlined text is a link. They know they can click on it.
The combination of blue and underlines means "If I click on this, it goes somewhere". We're conditioned to recognize those distinguishing characteristics. We're like Pavlov's dogs--we see the link and instantly know what it means. There's no time wasted in trying to figure out whether or not that particular word or phrase is clickable.
If you mess with the natural appearance of a link, you lose that instant recognition. People have to stop and think (and often click) to figure out what your colors mean. I have watched countless people try to navigate websites and spend half their time figuring out what's a link and what's not. They have no way of knowing.
In addition, people scan a page for links. They like to be active on the internet, and they like to know what they can do. When they recognize a link in your copy, it's a clear signal of someplace to go. Visitors want to know what their options are. It's not a good idea to make life difficult. They'll appreciate coming across a site that's easy to use and doesn't try to confuse them (for once!).
It is becoming more acceptable to use other colors for your text links, as long as they remain underlined. But if you can, it's still best to use blue. This is because so many people use underlined, colored text on their sites that is NOT linked. Visitors have a tendency to get confused. They never know what to expect. With blue, it's obvious.
Some people have brought up the point that if we stick to the status quo, there will never be any improvements in the system.
My answer: In a medium like the web, forward movement will never be a problem. The web continues to push ahead, regardless of whether your site jumps on the bandwagon or not. There will always be new growth, no matter what your site does.
The question is, when is it appropriate for your site to adopt the latest fads? To answer that question, you must keep in mind your site's purpose and your audience.
If your site is technology oriented, and your visitors are technically-minded and on the cutting edge, then going for the latest trend is more appropriate.
But if your site is focused on an average web user, it's different. If you're sellling a product/service, communicating information, or driving any specific action, you need to keep your visitors focused on that goal. You shouldn't distract them with trying to learn a new set of skills and standards just so they can navigate your site.
Never move faster than your audience is ready to move. At this point in time, people still struggle with being able to recognize links. A majority of people have a difficult time finding what they want. If they are still struggling, your site needs to accomodate them.
As more and more people become comfortable with advances in technology and design style, it will be appropriate to incorporate those advances into your site. Just wait until your audience is ready.
Final thoughts: If the context of your site makes it clearly obvious what is a link and what is not, it is sometimes permissible to use a color other than blue for your links. For this to work, your copy should have no colored text that isn't linked (with the exception of headings) and no underlined text that isn't linked. Only use another color if you are sure that visitors won't have any trouble recognizing your links.
The main point: Visitors shouldn't have to think about what is a link and what isn't. Whatever you can do that maintains instant recognition is great. Go for it!
