Open TextEdit and type the following...
a {text-decoration: none;}
...convert it to plain text (TextEdit>Format>Make Plain Text) then save it as "no_underline.css" (or whatever you want to call it, make sure the extension is .css though).
Then go to Safari>Preferences>Advanced and select the file you just made as your Style Sheet.
If you want the underline on links to show only when you hover over the link, the style sheet should be...
a {text-decoration: none;}
a:hover {text-decoration: underline;}
...hope that helps.