Hello,
Well, newsletters styling is always a bit tricky. You need to use multiple CSS tricks and hacks to make it consistent all across the e-mail clients (if it's even possible).
At any rate, you might find useful the following way of defining custom unsubscribe link:
http://devnet.kentico.com/Forums.aspx?forumid=40&threadid=8594. This way you are able to set custom CSS class and style the link using CSS styles.
Maybe other users will post here some tips and tricks in this regard (otherwise try to find them out on the Internet).
Best regards
Ondrej Vasil