The anchor text that is employed in the link that points to your web site from an external site counts a lot in the search engine algorithms to figure out what your site is all about. Additionally, what your site is all about defines to a large extent what keywords it will rank for in the search results.
If you can influence in any way the anchor text that other web sites employ when they link to you, then it's an extremely prudent way of investing your time.
A larger number of external sites that have links to your site employing a certain set of keywords, or alternate versions of that keyword, will prompt the SE's to more readily compute that your site is all about that specific keyphrase.
It's far more advantageous if the content of the destination page on your site contains that particular keyword and phrases similar in meaning.