Not gonna happen with CSS only
Inline javascript
<a href='index.html'
onmouseover='this.style.textDecoration="none"'
onmouseout='this.style.textDecoration="underline"'>
Click Me
</a>
In a working draft of the CSS2 spec it was declared that you could use pseudo-classes inline like this:
<a href="http://www.w3.org/Style/CSS"
style="{color: blue; background: white} /* a+=0 b+=0 c+=0 */
:visited {color: green} /* a+=0 b+=1 c+=0 */
:hover {background: yellow} /* a+=0 b+=1 c+=0 */
:visited:hover {color: purple} /* a+=0 b+=2 c+=0 */
">
</a>
but it was never implemented in the release of the spec as far as I know.
http://www.w3.org/TR/2002/WD-css-style-attr-20020515#pseudo-rules