An anode rod in your water heater performs a very important function, it protects the steel tank from corrosion, and subsequently leaking. As your anode rod performs its job, it loses potency and offers a declining level of protection for your steel tank. Since anode rods are typically in the $30-$50 price range, they cost a mere 10% of what your would spend to replace your water heater after a leak. The aforementioned numbers do not take into account the additional expenses associated with cleanup after a leak nor the costs to repair or replace other items within your home damaged by the spilled water.
In the December 1999 issue of "This Old House" magazine, Rich Trethewey recommends that anode rods be changed every 2 years (which includes draining and flushing the tank) and that in places where the water is really hard, drain and flush possibly as often as every month to extend the life of the unit.
I live in Gwinnett County, Georgia and am on the county water system. Just so you have a benchmark, my anode rod is 6 years old in the picture to the left. Beneath that fine white crystalline coating, the rod itself is heavily pitted and totally eaten away in some places. Obviously, after a few regular maintenance iterations, you will get a feel for how to make, and if, adjustments to the schedule are needed. For the record, I will check my anode rod after 3 years of use in the future.