[jQuery] jQuery loop help

First off, I apologize if this is too "noobie" a question or has been
answered somewhere else (I can't find it anywhere). I'm new to jQuery,
and I'm trying to learn some basics. Anyways, I'm stumped on the
following.

How can I convert this to jQuery?

var links = ... // Holds an array/
collection of links
function myfuction(param){...} // Just a generic function that
accepts a parameter

for(i=0; i< links.length; i++)
{
links[i].onclick = myfuction(i); // note that the fuction is being
passed the loop control variable
}

Basically, all I want to do is have the links pass their "reference
number" to a function. So far, I got something like this:

$("a").each($(this), function(){
.click(function(){ ... });
}

At this point, I have no idea where to go. Does the each method have
anything similar to a "loop control" variable? I'm sure I can find a
work around (ie: number assign each link a number via the rel
attribute) but I'd rather learn the correct way that trying to fake
it.

Any help would be appreciated. Thanks in advance.