No. Keeping links colored and underlined is a good idea.
User interfaces shouldn't reinvent the wheel. They should respect standards so users don't have to relearn commands every time they switch programs. Same for websites: Keep it familiar.
I think it's fairly obvious that these effects aren't intended for body copy links, rather for header navigation and the like. In those cases, such as when they appear in a navigation bar at the top of the page, their utility is already obvious and there is plenty of room for differentiation.
