It also helps you to optimize and rank your website well in search engine on that particular keyword. but dont use the same anchor text too may time. Keep changing it with some intervals..
It's very important. Using your keyword as you anchor text will help to increase the ranking of your keyword.
check out rands tutorials on seomoz.org, when linking internally its important to control link juice so that your internal content is a relevant as possible. you can rel=nofollow links that dont use appropriate anchors internally to help. with off site stuff just dont forget to build deep links to hub pages within your website.
having an anchor text is having two birds with one stone, first produces back links and promotes your keywords without spamming....
Matt5409 is right anchor text is all about helping the google search engine to understand moreabout your site and rate it more highly as a result. There's a basic overview of blogging and how anchor text works that I created on a post on my site here, which is ideal for beginners, it's called Make Money Online Blogging