There are some fun things you can do with links, but I'll show you the basics, like always.
Here is an example of coding to change the link styles:
You can change not only the colors of the links, but you can use the same coding you use for regular text. For example, you can add in text-decorations and change font families, etc.
This example above has changed the text-decoration so that when you hover over a link, not only does it change color, but it underlines it as well.
This above example made it so that when there is a link, it is the Verdana font, but when you hover it, or it's already been visited, it's Arial, and when it's currently active, it's Verdana. Follow?
For more information on making links different: http://www.w3schools.com/css/css_pseudo_classes.asp