Just because you can, doesn’t mean you should. In this case, do not mess with the underline in links. The convention for denoting a textual hyperlink on the Web is underlining. Don’t remove it. The pro-underline side in this seemingly age-old debate has been gradually losing ground because of a lack of awareness about accessibility and the increasing competition to build the “best” design.
With respect to accessibility, the main reason to retain underlining is so that links remain visible to color-blind users. Even I have trouble distinguishing links from plain text when the underlining is removed and the link color does not contrast well. Consider a page with black text and dark blue or purple links; distinguishing the two, if even possible, would put quite a strain on the eyes.
One exception to the rule is for the navigation menu. Removing the underlining in it is fine as long as its function is totally obvious to the user.
Also, do not underline plain text that is not hyperlinked. If you want to emphasize the tone of a word, then use the emphasis element ()