So what works better than color: #0000FF; and why?
A blue has the most 'instant' recognition but , remember there are MANY shades of blue , don't let yourself be trapped by the 'default'.
Well, that is what I did do for heading in the screenshot I provided. (I just didn't match up the colors between that and regular links.)
For links in odd places , headlines and such, depending on how obvious the link relationship needs to be, color them as you normally would or with the 'notable color' , if they are colored normally should then bring the 'notable color' on hover to confirm to the user that it is indeed a link ( you have thus avoided underlines on headlines and such.. but still communicated function)