I found that changing the editor's stylesheet is very simple: edit fckconfig.js and set up FCKConfig.EditorAreaCSS with the path to your customized stylesheet.
Tested on pc (XP Pro sp1):
FF 1.0.4: don't read the a classes
IE 6: works fine
NN 7.2: don't read the a classes
Opera 7: FCKEditor not supported
custom StyleSheet for editorarea