A recent discussion on the Interaction Designers list focused on the lack of indication for hyperlinks. I've always considered this an issue:
...many Web links are poorly labeled and misleading. Adding to the confusion is the variety of links we are likely to encounter within a single site or Web page. Different kinds of links get us to different types of content and in different ways.
Though there are several interface design solutions (744 KB PDF) that could provide some indication, I've long believed your Web browser could stand to bear the burden of clarifying links. Once a Web page loads, the browser could quickly scan the links contained therein. Links that led to long downloads, non-standard files, and new windows would be recognized and when you moused-over one of them a small "tool tip" (see images in the PDF file referenced above) would let you know what to expect from the link. This feature could even be expanded to show the title and first few sentences of the content behind a link.
Many browsers currently use a status bar to display the url of a link you may be about to pursue. But the status bar is not adjacent in space to the information you are interested in (the link) and some newer browsers (Safari) have the status bar turned off by default. Technical issues, such as bandwidth, and interface design issues, such as clutter and flickering of too many tool tips, may limit the theasibility of providing tips for every link on a page. But some indication is better than none.