Nothing has changed for me.
This is guide for creating links in blog posts and pages and it does sound like you are following it.
This is the general link model:
<a href="URL HERE">Highlighted anchor text here</a>
This is the visual result but as it's just an example it's not actually linked to a page:
Highlighted anchor text here
Enter the anchor text you want to link to first.
Then use your mouse to highlight that anchor text.
Next click the chain icon in the Visual editor and proceed to create the link.
You may want to confirm you are running an upgraded browser version though See http://browsehappy.com and try clearing your browser’s cache http://www.google.com/support/accounts/bin/answer.py?hl=en&answer=32050
If you are still not successful will you please post an active link starting with http:// to a post or page you are experiencing this issue on?