For what its worth I have seen threads (today) which have normal blue links, but I to have no clue how to make them. I came to this section of the forum to ask this very question actually.
Okay while writing this, I realized I could just quote the message I saw and examine the BBCode they entered. It appears he used a work-around by simply adding the BBCode for underline as well as blue text, which seems to work fine. This of course does not help you if you are reading a post someone else made and they did not add in the same BBCode. I too think links should be displayed in the web standard of underlined blue text by default.
Example:
http://www.wrongplanet.net
Example BBCode for above link:
Code:
[url=http://www.wrongplanet.net][u][color=blue]http://www.wrongplanet.net[/color][/u][/url]
*edited because I initially messed up the color portion of the BBCode it is fixed now
*edited2 because I just realized WP doesn't show edit timestamps, just post timestamps LOL