In addition to the technical answer, javascript:void means the author is Doing It Wrong.
There is no good reason to use a javascript: pseudo-URL(*). In practice it will cause confusion or errors should anyone try things like ‘bookmark link’, ‘open link in a new tab’, and so on. This happens quite a lot now people have got used to middle-click-for-new-tab: it looks like a link, you want to read it in a new tab, but it turns out to be not a real link at all, and gives unwanted results like a blank page or a JS error when middle-clicked.
<a href="#"> is a common alternative which might arguably be less bad. However you must remember to return false from your onclick event handler to prevent the link being followed and scrolling up to the top of the page.
In some cases there may be an actual useful place to point the link to. For example if you have a control you can click on that opens up a previously-hidden <div id="foo">, it makes some sense to use <a href="#foo"> to link to it. Or if there is a non-JavaScript way of doing the same thing (for example, ‘thispage.php?show=foo’ that sets foo visible to begin with), you can link to that.
Otherwise, if a link points only to some script, it is not really a link and should not be marked up as such. The usual approach would be to add the onclick to a <span>, <div>, or an <a> without an href and style it in some way to make it clear you can click on it. This is what StackOverflow [did at the time of writing; now it uses href="#"].
The disadvantage of this is that you lose keyboard control, since you can't tab onto a span/div/bare-a or activate it with space. Whether this is actually a disadvantage depends on what sort of action the element is intended to take. You can, with some effort, attempt to mimic the keyboard interactability by adding a tabIndex to the element, and listening for a Space keypress. But it's never going to 100% reproduce the real browser behaviour, not least because different browsers can respond to the keyboard differently (not to mention non-visual browsers).
If you really want an element that isn't a link but which can be activated as normal by mouse or keyboard, what you want is a <button type="button"> (or <input type="button"> is just as good, for simple textual contents). You can always use CSS to restyle it so it looks more like a link than a button, if you want. But since it behaves like a button, that's how really you should mark it up.
(*: in site authoring, anyway. Obviously they are useful for bookmarklets. javascript: pseudo-URLs are a conceptual bizarreness: a locator that doesn't point to a location, but instead calls active code inside the current location. They have caused massive security problems for both browsers and webapps, and should never have been invented by Netscape.)