[eluser]TheFuzzy0ne[/eluser]
I've built quite a few sites and I've never needed to use that function. Occassionally I might use htmlentities() if the URL contains anything that might be misinterpreted by a browser. I try to keep my URLs as clean as possible by only allowing text, digits and a few other characters in URLs. For anything else, I like to either use POST.
However, if you're sure about what you're doing, you can override the anchor function with your own that uses rawurlencode().