Kyle has a pretty good answer, so I'll just add that Six Revisions has a pretty good article - Designing Hyperlinks: Tips and Best Practices - about this topic.
I'll also note that it's becoming something of a standard to have some sort of notation if a link takes you to another site (typically a box with an arrow pointing north east). Where I work we have all external links open in a new window/tab (browser default), but I've never personally seen anything one-way or the other about which is preferred.
I believe for usability it's generally preferred to open in the same window/tab.
Also, another semi-standard is to note which links open documents (PDFs/Word/etcetera). You don't see size consistently any more, save sites that use some sort of document management system that automatically displays this.
Finally, if a user prints off a Web page you'll want to determine whether to print out the URLs. I don't know that it's a best practice, but it can be useful (depending upon the link length).
Do you know any very bad examples were hyperlinks are being misused or something like that?
No examples off the top of my head, but generally anything where you can't tell what text is a link. Some people think that making them flow into the text looks better, but in practice most users are skimming large blocks of text.
Which brings up one last point; make your linked text descriptive. "Click here" helps no one. See this W3C article for more information.
