How do I allow links in blog comments?

I want to allow readers to add comments that include links to other sites that relate to what I've blogged about.  I review all comments, so I'm not worried about people adding spam links. 

I've looked at what is stored in the database, and it includes the html I'd expect. For example, I see this in the database:

Check <a href="http://someurl.com">this</a> out.

But when it is rendered into my page, the html characters are escaped into literal characters in the html.  I see the following in the html source:

Check &lt;a href=&quot;http://someurl.com&quot;&gt;this&lt;/a&gt; out.

Can I easily prevent this?  I haven't been able to find any module settings that allow this, but maybe I just don't know where to look.

Thanks!