You can do this without having to actually modify the links themselves for each page.
In the Stack Overflow clone I'm building with Django, I'm doing this:
<!-- base.html -->
...
<body class="{% block bodyclass %}{% endblock %}">
...
<div id="nav">
<ul>
<li id="nav-questions"><a href="{% url questions %}">Questions</a></li>
<li id="nav-tags"><a href="{% url tags %}">Tags</a></li>
<li id="nav-users"><a href="{% url users %}">Users</a></li>
<li id="nav-badges"><a href="{% url badges %}">Badges</a></li>
<li id="nav-ask-question"><a href="{% url ask_question %}">Ask Question</a></li>
</ul>
</div>
Then filling in the bodyclass
like so in page templates:
<!-- questions.html -->
{% extends "base.html" %}
{% block bodyclass %}questions{% endblock %}
...
Then, with the following CSS, the appropriate link is highlighted for each page:
body.questions #nav-questions a,
body.tags #nav-tags a,
body.users #nav-users a,
body.badges #nav-badges a,
body.ask-question #nav-ask-question a { background-color: #f90; }