It's pretty well established that keywords in the domain name do actually help with SEO. I suspect that the effect is probably waning a bit now, however. There are so many domains registered now that pretty much every traffic drawing keyword has been used many times over!

That said, it certainly still helps. And even if you can't find a solo keyword that hasn't been saturated, you can still have good results if you combine a couple of them. I've found this from personal experience a few times now.

This site, for instance, uses 3 keywords in the domain name. I'm now on page one for Australian Google searches for "seo tips". That brings me a few clicks every day - sometimes around 10. So, it's not a flood, but it's certainly a consistent trickle that adds up over time.

I'm further down the list when it comes to searches for "SEO Australia". I'm on page 8 as of this writing, though that varies a bit. In time I'll improve that and maybe get to the first 3 pages. (I doubt I'll get on the first page, since this is one search that a lot of SEO companies turning over quite a bit of money are clearly targeting.)

Another example is a site I've just created in the entertainment niche. I used the Adwords keywords tool and found that there were thousands of global searches for the phrase "comedy satire", so I bought the domain name www.comedysatire.com. (I think I was quite lucky to get it, actually.)

I will build that site up content-wise in the coming months, but right now have just got a basic page up with a blog. Still, it's already at the bottom of page 2 for searches for that keyword phrase. It shouldn't be two difficult to crack page 1 with some backlink building through articles on the subject. Again, that search will probably only draw a trickle of traffic. But it will be consistent, long lasting and also highly targeted.