When people are talking about links (if you don't know what a link is you can find out by clicking here) they often talk about something called anchor text.
Anchor text is the bit of text that you click to follow the link. Because the text effectively 'holds' the link in place on a page, it is described as anchor text.
Anchor text often gives you information about the page you will land on when it’s clicked, for example - Noisy Little Monkey’s Google Plus Page is a link to our Google+ page. Neat, huh? Click here takes you to the same page, but the anchor text isn't descriptive of the landing page.
Since descriptive anchor text is the most useful for people, it seems that Google tries to use it to understand what a page is about. To see how important the words you use as anchor text are, type click here into a Google search. The site that has the most links that use the anchor text "click here" is number one in the results, which right now is the page for Adobe Reader.
UPDATE 25th May 2012 - Using 'spammy' anchor text in back links to your site to try to game the Google ranking algorithms is a technique that was very popular with SEOs a few years back. A few VERY DANGEROUS, VERY STUPID SEOs still see it as a legitimate means of helping their clients rank. It is dangerous and stupid because it is against Google's guidelines and could get you removed from Google's index. If you (or your client) is big enough that Google can't live without them (see JC Penney's Backlink Disaster), then you should be able to sleep at night. However, most of us can't live without traffic from Google, so don't use spammy anchor text and stop buying links.
