[jQuery] append ajax call result?

I want to append the result of a load() call, rather than replacing
everything in the element, like this:
<code>
$("a").click(
    function(){
        $(this).append( load("./my_data.php") );
});
</code>
I've tried
<code>
    $("a").click(
        function(){
            $(this).append(
                function() {
                    load("./word_data.php");
                }
            )
        }
    )
</code>
which doesn't work. Is there a way to do this?