Anchor text, or the text used when linking to other sites, is very important in search engine optimization. Search engines use anchor text to try to determine what a site is about, so it's important to have relevant words, especially your target keywords and/or keyphrase, as the anchor text of all incoming links to your site.
Syntax how to link a word:
<a href="Put the URL">visit my page</a>
Ex:
<a href="yahoo.com">visit my site</a>