Hyperlinking to files is a necessary practice and a darn good idea (Many thanks go to the creator of these hyperlink things). I wanted to point out that if you link to a downloadable file (e.g. Image, Archive, Executable) then it is courteous to give some indication of the file size. An example would be: View a three-legged elephant (Size: 036637 KB).
Hyperlink colors can be an important part of their usability. Many people just unconsciously expect hyperlinks to be blue. It is obviously not a must, but, if blue links fit into your color scheme then go ahead and make them blue. Red visited links are common, also.
Ex:
<body link="#000080" vlink="#800000" alink="#008080"> is a favorite of mine.
<body link="#0000FF" vlink="#FF0000" alink="#FFFF00"> is more traditional.I have a few more tips on hyperlinks. These tips are included in my Cascading Style Sheets discussion. Take a look at my CSS Hyperlinks subsection.