You should always (by always I mean whenever possible) use the keywords in the link to your site, regardless of whether they are coming from the external or internal source.
There is a very good example of how much it might help with your SEO campaign.
If you type in Google 'click here' you will find that top of the list is Adobe Reader download page.
The reason why it ranks so well for this, rather unusual keyword is because many websites, which offer PDF download also put the sentence saying something along these lines:
"...click here if you haven't got it already installed on your computer...'
where 'click here' is the text of the link to the Adobe's page with the Reader download.
Now - when you put a link on page A to page B - you give the keyword credit to page B, but also page A, because the keywords actually appears within the content of page A as well as points to the other one. I might be a bit confusing, but at the end of the day you are building a keyword rich website.