Ever since CSS became popular, people have moved further away from the blue underlined links that were universally understood. Styling your site is your prerogative, and styling your links can help bring about a sense of identity. Often, the bright blue links just don't suit a site's color scheme. The purple visited links are even harder to fit in.
Many people choose to style the a tag and neglect that this style takes precedence over the :link, :visited, :hover, :focus, and :active states. A lot of people just style the hover state and forget about the rest.
Why visited link styles are important
Here's an example from a guitar tab site called ultimate-guitar.com. People submit their interpretations of how a song is played, and others get to read it and rate it. A tab tells you exactly how to play a song on the guitar, and the chords tell you loosely how to play it on any polyphonic instrument (guitar, piano, etc). The trouble is that anyone can submit a tab, whether they really know how to play the song or not.
I'm trying to learn how to play the song Jesus, Etc., by Wilco. Here are my options:

Having a lot of choices is common on big tab sites. Let's say I go for the top choice. It's rated five stars, and if it's faulty, I'll go to the other five-star entry. I try it, and it turns out the two people who rated it are nuts. I go back to the index and I see:

The link I clicked looks the same as the rest. If I just spent 3 and a half minutes trying to play this song, I have no idea which link I already clicked on.
Your user needs to know where they've been
In the above example, I'm just as likely to click on the same link again, although I've already decided that's not the page I need. That's wasting my time and expecting too much of my memory. In a directory like this, when your user is forced to result to trial and error, it's especially important.
Visited links don't have to be purple
They can be any color you want, just as long as they're different from normal links, and different from normal text. A common choice is fading your standard :link color. Here's an example from digg.com:
Visited links not only help users avoid pages they don't want to go to, they help users find pages they want to get back to. Styling the visited links in your site's content will vastly improve your users' experience.

Styling visited links in web sites wrote:
March 21, 2009 at 2:16 pm | Link to this Comment[...] “Visited links not only help users avoid pages they don’t want to go to, they help users find pages they want to get back to. Styling the visited links in your site’s content will vastly improve your users’ experience.” [Source] [...]