More pointing out a new feature (though it is one that's not documented) than a hint.
In Mail 4.1, you no longer need to type the http:// part of a URL to make it clickable for the recipient. In previous versions of Mail, the text would not become a link without http://. Unfortunately, Mail still does not show your URL as a link while composing the email.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20091015162655171