It's sometimes hard to explain but this article from Smashing Magazine sums it up nicely; which I've further summarised below as:
- Click here emphasises mouse interaction (press here is more apt for a touchscreen, press enter here perhaps for a screen-reader?)
- Click means nothing if you're using a screenreader which reads links in isolation.
- Links should tell you about their destination / behaviour - "Click here to download pictures of naked ladies" vs "Download pictures of naked ladies".
- Not using click here can help you simplify your links - "Click here to see Hugh's photos" vs "Hugh's photos"