If you're including links in your own post it can be done by some fiddling around with BBCode tags: for example, here is a highlighted link to the start of this thread.
Examine the code used to do it by clicking this post's "quote" button.
However it's often easiest to just use plain text and paste the whole URL, like so - start of thread: http://www.wrongplanet.net/postx219218-0-0.html
At least the default underlining scheme for a clickable URL is more obvious - but, make sure the URL is surrounded by whitespace otherwise it doesn't become clickable.
Unfortunately improving the display of links not using either of these techniques will require code changes, which is what Alex will be looking at.
Until that's made more obvious, links are otherwise only revealed by waving the mouse pointer over the likely text area of a link - when it will change to a pointing hand.
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Giraffe: a ruminant with a view.