I click the "unsubscribe" link all the time! Not to mention confirmation email links (much more convenient than entering a code they email me), package tracking links, and a whole slew of others.
I don't know if that's such a great security practice. I thought it was pretty common (at least among tech saavy crowd) to not click on Email links, but judging by the responses I guess not. Good luck and wear a helmet, everyone!