Note: This article covers the l function for Drupal 5. While most of the information is still applicable to Drupal 6, the function call has changed. See http://api.drupal.org/api/function/l/6 for the Drupal 6 version of the call.
Why would anchor tags warrant attention? It's just a text string after all. Concatenate a variable or two with some text to create the link and you're done, right? Maybe.
Do you want to move your code between different Drupal installations? If the answer is yes you need to worry about handling the differences between servers, things like whether clean URLs (1) are enabled or the instance is installed in a base directory (2).
Having to test and determine output based on specific conditions sounds like a good candidate for a function. The Drupal programmers who came before you though so as well, thus we have the "l" function.
The l function brings with it other advantages. If the link is Drupal content with a URL path alias the l function will automatically use the path alias, even if it's passed the Drupal "system" URL. If the URL you're specifying happens to be the current page, it automatically adds class="active", which is very handy when using CSS to theme navigation links.
