Adrian recommends that we underline links in body copy and provides a host of evidence and rationale to back that up.
WCAG guidelines tell us to make sure we do not rely on color alone to distinguish links and even explicitly suggest underlines.
Usability researchers and practitioners generally suggest that underlines are the most clear way to indicate a link that lives within content.
Academic researchers confirm that … when you have them you can reduce additional cognitive load by making them apparent. Underlines performed well.
There are other sites on the web which have set expectations, but many of them likely do not correspond directly to your own circumstance. Additionally, some of them are already violating WCAG, which removes them from consideration as appropriate analogues.
Other styling options can work, but they are not necessarily universal, sometimes requiring users to learn them. They may also conflict with other styles on your site, increasing the effort (cost) for you to come up with usable, novel and progressive indicators.
Given all these factors, I recommend you underline links in your body content.