Websites of today contains a variety of links including logo link, global and local navigation links, supplementary or related links, other header links, footer links, inline related links and more. We learnt from Jakob Nielsen that Not Changing the Color of Visited Links where the third worst mistake in web design (updated 2011):
A good grasp of past navigation helps you understand your current location, since it's the culmination of your journey. Knowing your past and present locations in turn makes it easier to decide where to go next. Links are a key factor in this navigation process. Users can exclude links that proved fruitless in their earlier visits. Conversely, they might revisit links they found helpful in the past.
Most important, knowing which pages they've already visited frees users from unintentionally revisiting the same pages over and over again.
These benefits only accrue under one important assumption: that users can tell the difference between visited and unvisited links because the site shows them in different colors. When visited links don't change color, users exhibit more navigational disorientation in usability testing and unintentionally revisit the same pages repeatedly.
This statement is still valid, we want to let the user know where they have been, as much as possible. But that doesn't work for all links. The global navigation - certainly not, but inline relational links, most definitely. But where do we draw the line? Which links should change color when visited, and which links should keep their original link color?