For the purposes of SEO, a keyword or keyword phrase is a search term for which a website is optimized with the intention of ranking well in the Search Engine Results Pages (SERPs) for that term.
For instance, if you manage a website for a bakery, your targeted keywords might include “cookies”, “cake” and “bread”. Your might also target keyword phrases such as “chocolate chip cookies” and “strawberry shortcake”.
Keywords can be targeted on-site through the use of keywords in page titles, URLs, heading tags, body copy, anchor text of internal links and other content elements.
Keywords can be targeted off-site through the inclusion of keywords in the anchor text of links to your site. For instance the link
Visit mysite.com for <a href="http://mysite.com">cookie recipes</a>…
targets the keywords “cookie” and “recipes” (as well as the phrase “cookie recipes”) and will have more SEO value than a generic link like
Visit <a href="http://mysite.com">mysite.com</a> for cookie recipes…
Also, the content of the page the link appears on and the use of keywords in the context around the link will also influence the value a search engine places on a link. For instance a link to your page about cookies will have more value on a food blog than it will on a page about auto mechanics.