I would note (since the original poster shows Panther) that Pages' links are only live if exported to PDF under Tiger (10.4.x).
Peggy's observed behavior sounds a little odd to me — Peggy, you might try quitting Safari, and trying again. Note that the text of the hyperlink and the linked URL don't need to be the same.
Furthermore, bookmarks and the Table of Contents generate intradocument links. The easiest way to try these out is simply Print Preview, since that is a one step operation to create a PDF and open it with Preview.
As you alluded to, Acrobat (at least some versions) will auto-recognize URL's and make them hot-clickable, regardless of whether there's an underlying hyperlink set up by Pages.
Titanium PowerBook Mac OS X (10.4.4)