There is a related question for Safari but I am interested in a solution for Mail. The ⌘View menu.
I am using OS X 10.10.5, and I would really like to see the real full link I would follow, especially with potential phishing mails.
Just hover the cursor over the link for a few seconds. The full URL will spring up underneath.
The down arrow that will also appear next to the link will open it in a Quick Look window rather than a browser - but if you want to check the link is safe first, don't use that until you're sure.
Note that in macOS Big Sur, this feature changed. No matter how long you hover over a link in Mail, the URL and link preview won't appear until you Force Click (press harder until you feel the second click) on a track pad. If you are using a mouse, press the option key, and the URL and link preview arrow will appear.