I disagree. On the web, a standard blue underline that turns purple after you visit it is simple and instantly recognizable.
Blue underlined, yes; purple is almost used nowhere these days. CNN, Yahoo, Amazon, eBay etc. all don't use it. So the expecation isn't there. Blue underlined vs. blue is not such a big difference as to be confusing, and we *are* a very link-heavy site.
That being said, I'm not pushing the no-underline thing. As long as I can have my user preference, I'm happy.
Regards,
Erik