As I said on the shout box, many people use live links for bad reasons like spamming and phishing or to pretty much get a back link from your website. Coding these links prevents the person from hiding the real url example:
http://google.com
^ The above site says that its google but if you were to click it it will take you to yahoo.com. GO ahead and click it to see for your self it 100% safe. Phishers use these ways to get peoples account details.
Another way can be like this:
FREE MONEY
They don't put the url just some text while hiding the url and this way, phishers hack accounts.
Also, some people use this for SEO purpose. When google indexes you're website they look for anchor text which is html that is used to obtain backlinks from other peoples websites preferably in the same niche as their website although some spam bots tend to do this at any website which gives them a lot of back links but the quality of the links suck since the forum that is being spammed isn't a site that has to do with their spam.
Example:
Free Warez Downloads
^For the above example I used warez-bb. By doing this, when google indexes wjunction, they will come upon this anchor text and index it from wjunction so when a user searches on google free warez downloads, warez-bb will pop up in one of the searches. Free Warez Downloads is what you call a keyword. If you keep targeting that keyword then chances are whenever someone searches Free Warez Downloads on google, your site will come up as the number 1 choice though keep in mind their are A LOT of competitors competing for that keyword so it might not be as easy as it looks. Targeting that keyword also increases your SERPS.