So what works better than color: #0000FF; and why?
Well as an ART DIRECTOR who knows UX, I would pick any color complimentary to your sites base color ( this mean I am taking aesthetic liberties because I know the link hue is really not important as long as it' stands out from regular text and clear link behavior is established).
I suggested a 'bluish hue' simply because most folks already have the idea in their mind that 'blue'= link, but I have has sites use brown ( the site base colors were earth tones and body copy was black/gray).
In short, the only reason people #0000FF=link is because it was the default 'color' since the 90s. As most users aren't art school majors with calibrated monitors... they probably would still make connection in their mind with... say ( and this is just for example , mind you) #003e72, but #003e72 could look WONDERFUL with the rest of your sites palette.
you could break free of blue altogether,if you wanted to. I mean if your site's bg was #00000ff, it would be stupid to insist on #0000ff ( if that seems extreme.. think of the hideous 90s site with #000 or #222 bgs #fff, and #0000ff links! people took to highlighting the "nearly invisible" links so they could read the link. The site authors could have made the link yellow..and it would have been just as obvious it was a link and would have improved usability infinitely.
So, the important part is that you DIFFERENTIATE the color from body-block copy color and keep a certain consistency ( dont pick different link colors for EACH different Hx, and P, and ULs...ect) It's not the hue that matters it's the treatment and consistency.
Is a:hover supported by all browsers in all situations?
More than any other :hover!!!! A:hover was the ORIGINAL :hover ( IE didn't even support :hover on anything else OTHER than A until v7)