Training at the AT will increase your lactate threshold, allowing you to run (or bike or swim) faster for longer - and all other things being equal, the higher your lactate threshold, the faster pace or speed you will be able to hold over long distances or steep climbs.
Where is it?
Of course if you want to train at your anaerobic threshold (AT), you first have to know where it is! The most accurate method of determining your Anaerobic Threshold (AT) is to have a test done under laboratory conditions. This is expensive however, so most people opt for other ways of finding it out.
There are a number of alternative methods of determining your AT, but interestingly, all of them come up with a figure that is somewhere around 85% of your maximum heart rate (MHR). For most people, therefore, AT training will mean working at around 85% MHR.