That wouldn't be a problem with folks who have personal style sheets turned on, but those who run with CSS turned off entirely would see a lot more wacky layouts than I do. Setting your own text styles isn't any more disruptive than changing your browser's default font size. But you also understand that your choices may very well alter the fundamental appearance of the pages you view in ways the designer had not intended. AND i turn of the visted link so that there is only mouse over and mouse off. Any page that uses gifs for navigation etc wont have underlines.
People scan a page for links within fractions of a second after the page renders.
It happens so fast it is mind boggling. If it isn't underlined, it's not a link to all but a fraction of users. I hate sites that have links that arent underlined or normal words that are underlined, it makes for a frustrating page and these are the kinds of pages where as Brett says I just plain give up and look somewhere else. I'm not quite as extreme though, I have to say if everything was the same colour things would get a little dull. I dont think im going to lose any visitors because i dont have all my links underlined.