If you're building links yourself vary your anchor texts to 5 different variations. If you've deployed link bait all anchor text should vary naturally.
If it is from a highly relevant source without anchor text it should help a bit, but with the correct anchor text its value will be amplified.
Anchor text helps you for that keyword, but any text based backlink is still a 'vote' for your site in the google algorithm. Most 'natural' backlinks - the ones you haven't solicited yourself - will inevitably have your url as the anchor.
Any backlinks will help build your domain's authority. These will help build rankings for the target page and the words optimized within that page. Links with keywords in the anchor text will give you an extra boost for those particular keywords. It is completely untrue to say that links without keyword anchor won't help your rankings. Do you think people buy listings on Yahoo (or other directories that force you to use your company name as anchor text) just to increase rankings for your company name alone?
They still have an effect, if you had a http://www.yoursite.com link on the homepage of Google, it would clearly be picked up by search engines as a message from god.