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.