[spc476]

I've done that for my blog (http://boston.conman.org/) where darker colors refer to links "further away" (brightest are internal links to other blog entries, darker are links to external sites) although the effect may be too subtle.

It also only helps if the reader knows of this (and in my case, that's pretty much been me).

[sparkzilla]

It's a bit confusing. It's probably best to underline the external links.