oodlum - 2:24 am on Jul 11, 2010 (gmt 0)
In terms of usability, two visual cues are better than one. Depending on site design, underlined links might make a site look a bit dated, but form shouldn't take precedent over function.
If you did go with no underlines, then adding different hover colour is another important cue that says "You guessed correctly. This is a link".
If your objective is to discourage visitors from leaving, on the other hand, then a different-coloured link with no underline or hover is the way to do it and still remain white hat.