Are you using RTF or Plain Text for message composition?
Microsoft email clients don't seem to read Mail's RTF properly.
Are you including a link on a separate line by itself without any text before or after the link on the same line?
If not, make sure you always let URLs begin at a line of their own.
In other words, hit Return before typing or pasting the URL.
Instead of writing "Visit
http://email.about.com/od/macosxmail/", for example, type
Visit
http://email.about.com/od/macosxmail/