Q:

get word click in paragraphs

I have an HTML document with about 30,000 words in it.  
I'd like to be able to do something when a user clicks any word.  For simplicity/concept right now, I'd just like to alert() that word. 
For example, in the paragraph about, if I were to click on "have" it should run alert("have"). 
I'm using jQuery. 

A:

var p = $('p');

p
 .html(function(index, oldHtml) {
    return oldHtml.replace(/\b(\w+?)\b/g, '<span class="word">$1</span>')
 })
 .click(function(event) { alert(event.target.innerHTML) });

I took Pablo Fernandez's suggestions into account. 
See it on jsFiddle. 
Update

So, will this be performant (e.g., it won't freeze up a slow user's browser?)  Also, could you elaborate about how event.target works? 

It may very well slow the performance of a page with 30,000 words.  I'd argue that is excessive and probably would benefit from being paginated, but I don't know your exact circumstances. 
event.target property holds the element that started the event - the event bubbles up / propagates to its parent, which then handles the event, so you don't have 30,000 events on separate span elements.