You can create similar links with Yahoo Messenger.
<a href="ymsgr:sendIM?screenname">Chat with me!</a>
Personally, I think the most professional, and most effective, method is a chat system designed specifically for site-to-visitor chatting such as Live Chat, because this does not require that the visitor have any special software beyond Flash, and the visitor does not need to create an account with a chat service to use the system. In addition, the chat operator is able to see what page the visitor is on, which can help in responding to questions.