Anchor text is the visible text in a hyperlink. Anchor text gets a lot of weight in search engine algorithms because the linked text is usually relevant to the landing page. The objective of search engines is to provide highly relevant search results; this is where anchor text helps as the tendency is, more often than not, to hyperlink words relevant to the landing page. (http://en.wikipedia.org/wiki/Anchor_text)
Don't use "Click here" - this wastes the potential votes you could be getting for your primary search terms
http://www.ssw.com.au/SSW/Standards/Rules/RulesToBetterGoogleRankings.aspx#Relevancy
This also allows for easier navigation around your website, because people better understand what the link is for.
http://www.webmasterworld.com/forum10/4977.htm
