Depth in this context is relative (affordance is a better term btw). A boldness in a sea of un-bold text is something worth investigating (affords something...), with your mouse, or just your eyes - then you can determine from the text whether you might want to click it or not. This is why it's common to underline links or change colour. You can't make a link the same as normal text and expect a user to learn which words you've used for links.

The point is we already know these things by intuition, we shouldn't have to learn them.

"Don't make me think" - Steve Krug