I want to link usernames of instant-messengers (for example ICQ, AIM, YIM, MSN, Skype,...) on my website.
For Skype i might use
<a href="callto:username">Skype: username</a>
But what can/should I use for the other messengers?
It's not always the protocol part of the link, but the whole link itself. Check out some examples on http://www.howto-outlook.com/howto/messaginglinks.htm
But: think about the user context. Most of the users may not have installed all the clients. Maybe it is better to use microformats instead (also see http://ux.stackexchange.com/questions/21100/should-i-manually-hyperlink-phone-numbers-using-tel-on-my-websites/).