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So this link: [my-domain-here.com...]
would be preferred over: [my-domain-here.com...]
Is this always the case?
I have a blog that has is broken into categories. I thought that doing so much help add relevance to the pages contained in it.
Do you feel there is a significant difference doing this way? Or should I keep all my pages as close to the root domain as possible?
How much does this make a difference? Probably very little, but I've read several article about keeping subdirectories to a minimum (max 2).
I understand that for the best transfer of pagerank that you should keep your pages as close to the homepage as possible.
I would say that you are mixing two things here. Transfer of pageRank and site structure.
The transfer of pageRank is done throught links, and only throught links.
So yes, to get a good PR transfer keep your important pages 'close' to the homepage i.e. link to them from the homepsge.
There won't be any difference, in terms of PR transfer, between these two url's
Now as for site structure, if it makes it easier for your visitors to see -http://www.my-domain-here.com/category/my-page.htm, I would use this structure and not worry about keeping all my pages physically close to the homepage.
Take this 'classification' opportunity to add keywords as 'category' but don't overdo it, keep it as nice and simple as possible (ie. don't use directory structure with dozen of - or levels if it's not justified).