First I just ignored the hyperref package and just wanted something that 'looked' like a link:
\underline{\color{Blue} http://soundcloud.com}
but I end up getting an underline about 3mm below the link, which looks extremely ugly. After loading hyperref, I messed about with the variables but there is no underline feature. The best I could do was get it in blue:
\hypersetup{colorlinks=true,urlcolor=blue}
\urlstyle{same}
\url{http://soundcloud.com}
Question: Can I get a blue, underlined link so that the line is directly underneath the text (with or without an actual hotlink)?

\underlineis AFAIK thought for mathematic expressions only, which might explain the odd look for "normal" text. To underline text see thesoulorulempackages. – Martin Scharrer Jul 16 '11 at 15:55\smashthe argument:\underline{\color{Blue}\smash{http://soundcloud.com}}. Does this work? – Werner Jul 16 '11 at 16:08ulempackage: http://mirror.math.ku.edu/tex-archive/macros/latex/contrib/ulem/ulem.pdf – night owl Aug 14 '11 at 06:17