Google is testing a prototype in which the underlines are gone from links on result pages. When hovering over a link, the underline will show, though.
To try this for yourself, copy & paste the following into the address bar when at google.com, then do a google.com web search:
With prototypes like these, Google may want to collect usage data – like (as a guess) to check how long people scan the results before clicking a particular link. Sometimes, prototypes are rolled out for all later on, and sometimes they won't see the light of day.
[Thanks PhilipB for spotting this!]