yes, it is very important. If you are doing link building then it creates back link for a particular keyword and if you are using on your own website content that means more relevant pages of your website with a particular keyword.
On this forum we all know the importance of having nice keyword-stuffed anchors. However, it seems like some of the links I got recently don't use any anchor texts or use the generic "click here" anchor. It is quite frustrating from SEO's point of view. (I know, I know content is king and I should think about the users and not the search engines but if my site is not found ...)