Unless your link is actually a link, it doesn't have the same impact for Google. Emphasised forms of text are considered more "important" - so for example, if you write something in bold or italic, Google will pay more attention to it. By the same token, if it is a link then it should be clickable, and for ranking purposes this is what you want.
Also, as has been said, if you put the keyword you want to target in the "Name" or "Your Name" box, and enter your URL in the "Website" or "URL" box, this is a neat way of getting an appropriate link on a worthwhile site.