Domains names are like your real estate property for long life benefits. So they are sometimes compared with real estate in Web World, but same like in real estate locations of your property has most important part for your property, but in domains, keywords plays important part. Domains names are first indication for your business or what may be the subject of your web site and which services you provide, for example, if you domain name have SEO related words in it, you may be providing internet marketing related services and if your domain name have hosting related keyword in it, you may be having hosting and server related contents for your users, So domain name is like title of your book to give first impression to your users and search engines.
We have read in past about the importance of keywords in domain name, and still its true with google’s new algorithm which is called google caffeine which is another fact of Google’s patent on rankings of web pages which have clearly written the importance of keyword or keyword phrase in the url and domain name itself. For example, if your domain name have “Search Engine Optimisation” keywords in domain name and your domain name is searchengineoptimisation.com, you have highest chances of ranking on search engine optimisation keyword
Your domain name can be short as well as long, first keyword has high importance compared to other keywords in domain name. As per Matt Cutts, underscores “_” and Hyphens(“-“) in url of your domain name has also different importance, “-” have got high importance as compared to “_”
You can use various tools to make sure which domain you want to register and which keywords have good and target traffic, google keywords tool is best for searching keywords popularity and traffic.