I noticed when replying to a forum post just now that a hyperlink I included in the body of my reply had the exact same formatting as the text around it, making it indistinguishable from the plain text.
Quoting from WebAIM: Links and Hypertext - Link Text and Appearance (<- yes, that is a hyperlink):
Links should look like links, and nothing else should. Users may get frustrated if they try to click on textual phrases or graphics that look like links but are not. They will also be frustrated if they have to move their mouse all over the page trying to discover links that do not look like links.