HTML links will usually change colour/style when you hover over them. Here are a couple of useful links/tutorials concerning using CSS to do this:
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Note that the CSS :hover psuedoclass is not supported by all browsers for all elements. Styling hyperlinks usually works, but styling other HTML elements may not.
The other way would be using javascript and the "onMouseOver"/"onMouseOut" events. A bit more complicated than the CSS method, but that's how it used to be done before CSS really took off, and is still often used for rollover image effects (buttons that change when you hover over them, etc).