When writing XHTML, specifically creating anchor tags for links, should you use html entities for characters in URL's like &?

For instance... if I'm writing XHTML, which is correct?

HTML Code:
<a href="http://www.example.com/index.php?a=2&z=9">Link</a>
or

HTML Code:
<a href="http://www.example.com/index.php?a=2&amp;z=9">Link</a>
I never could quite figure this out. Thanks!