The new Mail.app adds the much-needed ability to see the actual URL of a link in a mail message. Just hover your mouse cursor over a suspicious link to see the actual URL in a tooltip.

It's regrettably not as obvious as Safari's status bar, nor does it seem to be documented anywhere, but it's a small defense against popular phishing tricks. I suppose Apple hopes everyone will just happen to notice it before they go handing over their eBay account information.