I don't think you can use audience  Targeting with Anonymous Access
Users. Anonymous users  have no Profile and are therefore not part of
any audience. If you use a webpart  on the page  that is Audience Enabled
it will force a Login in order to evaluate the Audience. I don't think
there is a way around that.

Yes, you are right we cannot have Audiences without profile but
instead of using Audiences (built from SSP), we were trying to use
SharePoint Groups to target  couple of webparts  (registration info) to
vistors.

All I want is to show  some webparts to vistitors who are not logged
in, what is the best way of doing this?

I don't think there is a way of showing webparts  only to people that
aren't logged in. As soon as you target  the webparts using audiences or
security you will trigger a need to login.

This is a stretch put worth mentioning. If you are developing a
custom webpart  can you wrap the standard .net control the has panels
for authenticated and anonymous  users?? I have not tried it yet but
it has crosed my mind.

Anyone try this?