http://www.useit.com/alertbox/20040510.html
appears to offer more user-friendly advice (perhaps because it is based on more thorough usability research) than the advice in the article kindly submitted here.
The Top Ten Mistakes in Web Design" article
http://www.useit.com/alertbox/9605.html
(updated 2011) says one of the top ten mistakes is "3. Not Changing the Color of Visited Links." I have to agree.