Some websites have been playing with this in recent years. Fast Company uses an orange color (with no underlining) [1] and Wired experimented with thick underlining, which I always thought looked terrible. [2]

1: https://www.fastcompany.com/90669062/is-your-brand-on-mute-w...

2: https://stackoverflow.com/questions/24691460/how-does-wired-...