If you're looking for a solution that uses hyperref's own underlining just for the heck of it, but wants to use colored and underlined links. This is how. Note: hyperref's underlining isn't particularly pretty, in fact, it's just the bottom line of a box. soul's underlining is prettier and much more customizable (see its documentation).
\documentclass{article}
\usepackage{xcolor,soul,lipsum}
\usepackage[hidelinks]{hyperref}