I was quite surprised today when I was searching for HTML code to link to messenger programs that there wasn't a page that listed them all together. I had to piece together each one of them from reading various forums. Below is a list of how to link to some of the most popular messenger programs on the market.

AOL Instant Messenger: aim:goaim?screenname=#screenname#

Google Talk: Nothing currently available

MSN/Windows Live IM: msnim:chat?contact=#screenname#

Skype: skype:#screenname#?call

Yahoo! Instant Messanger: ymsgr:sendim?#screenname#

Update
Thanks to Jaspreet I was able to figure out how to link to Google Talk, and have written a follow-up article you can read here.