Hongtting

You can bind a click handler that returns false:
$('.my-link').click(function () {return false;});
To re-enable it again, unbind the handler:

$('.my-link').unbind('click');
Note that disabled doesn't work because it is designed for form inputs only.

jQuery has anticipated this already, providing a shortcut as of jQuery 1.4.3:

$('.my-link').bind('click', false);

And to unbind / re-enable:

$('.my-link').unbind('click', false);