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Websites are full of miniscule design decisions. For example: how to style links. You likely won't just go with the user-agent styles. But should all links look the same? Or would you rather treat links to external sites differently than internal links? Is it a good idea to append icons for specific websites? Must links be always underlined? Should their appearance with change on hover or focus? Is implementing a previews for the content a good idea? What about colors, contrast ratios, and supporting multiple themes? So many seemingly small questions, but it adds up and also links are what make the web, so it won't hurt to spend a few minutes to reflect on their affordances.
As for this site: Some time ago I decided to make internal links look just like text, but reverted the policy a bit later again, and treated all links the same. And while I find link icons in the style of Gwern a really neat idea, I don't see enough benefit for me to implement them. I did a few tweaks recently with regard to the text-decoration. I decided to differentiate the links of the navigation from the rest. I leave the navigation links initially undecorated, becoming dotted on hover and underlined on focus; the other follow a similar progression, but are dotted from the beginning, then underlined on hover and double-underlined on focus. Jakob Nielsens Guidelines for Visualizing Links, although now two decades old, are still a great resource and destillation of the most important considerations.