I agree with jollyrog. Stuff that's not a readback item does not have to be acknowledged. And if the transmission from ATC only contains non-readback items (such as a traffic advisory) you only need to acknowledge the whole transmission, either with just your callsign or a Roger followed by your callsign.
My personal favourite:
"Cleared to land 06, copied the wind, G-ABCD". Really? Are you going to write down the wind on your plog in the most critical phase of flight?
On the other hand, "Roger, G-CD" takes the same amount of time as a "Copied, G-CD" or "Looking, G-CD". And whereas "Roger" doesn't mean much more than "I've heard you talk to me but I might not know exactly what you mean and/or I'm not sure I'm going to act upon your information", a "copied" or "looking" at the very least implies that you understood what was being said and will act upon the information appropriately.
Does COPY TRAFFIC mean something different to TRAFFIC COPPIED
The only occasion that I know of that the order of the words really matters is in "hold position" and "position and hold", which seems to be a US-only expression. In Europe they've changed the latter to "line-up and hold" for precisely that reason.