I don't click them but many people do. This is easily demonstrated through A/B testing.

Dave Johnson, President of Working Software told me the reason that so many advertisements say "BUY NOW! DON'T DELAY" is "because it works".

  "Ask my mother why she likes advertising." -- Karen Salzman

   "Why do you like advertising?" -- Me

   "It tells me what to buy."

I swear I'm not making this up.

For me, just about the most effective call to action I've ever seen is a developer blog linked from here at HN. At the end of each article it said "Read This Next" then linked another technical article.

I read every article on that guy's site.

I find it helpful that someone notes the "Reading Time" at the top of each of his developer blogs; I plan to add that.