An interesting thread over at Cre8asite Forums has members discussing links and how they should be formatted. Ironically, the thread, Should links still be underlined and blue?, is very similar to another thread that Ben (Phoenix) covered in November 2004, also at Cre8asite.
There are some good opinions regarding how to insert links in both of these threads, and may help you formulate thoughts on how to do linking on your website. As Ben noted in 2004, the main goal is visibility, especially if the link is a call to action. The main question is still "does the average user know it's a link?"
My thoughts are that as long as you pick one method and stick with it, people will use the links. For SEO purposes, I like to try and insert at least one link per page to another relevant page within the content using descriptive anchor text. I try to avoid using the "Read more" anchor text found at the bottom of many pages on the Internet.
Short post since this is basically a recycling. Read the thread at Cre8asite Forum for more opinions or to add your thoughts.