For a number of years now, web developers have been able to use different colors for hyperlinks, so I never use underlines for anything but a hyperlink. Related I include as a hover, a warning that the link will open in a new browser window. That way the learners know that the eLearning project has not been closed and the back button in the new browser window/tab will not get them back to the learning project.
If I need to create custom menu driven learning projects I put a menu across the top or on the left side since that is what learners have come to expect because of their constant use of web sites.
I want the learners to focus on learning about the subject matter not having to waste mental bandwidth learning how to use the eLearning project.
The papers written by the Nielsen Norman Group (specialists in User Experience) are focused mostly on eCommerce but the information can be generalized enough that it applies to eLearning projects. For example they just published a paper on "Video Usability." I recommend it to anyone that wants to use video.
http://www.nngroup.com/articles/video-usability/