From time to time you see discussions in various forums about keywords in a URL, and whether or not this is a good idea. Like some many things in the SEO world, the answer is simple: It depends. To cite an example: cheap-viagra-cialis-levitra-hgh-sex.com is not a case where keywords in the URL will help you from an SEO perspective. All that hyphenating in the domain name is a real flag. You can see the search engine engineers eyes glaze over as you recite your way through your hyphens when you tell them you domain name.
Matt Cutts ended up addressing the matter in a recent post he did about Robert Scoble’s visit to the Googleplex. Basically, Matt says that it could be a factor taken into consideration by the search engines.
Albeit, his post is not declarative, as it could be interpreted as meaning that it helps the user confirm that they are the right page because they see their keyword in the URL. However, it could also be interpreted as something that is actually weighted by the Google algorithms.
Rest assured, either way, it’s not an important factor. There are many other basic things you can do that carry far more weight, namely develop great content, and figure out how to get people to link to your site (for the most part, by letting them know about your great content).
Note that if you do want to put keywords in your URLs, then make sure to replace spaces with hyphens (“-“), not underscores (“_”). Search engines see the underscore character as a physical character, not a space. However, they do interpret hyphens as spaces. Just don’t fret about it. You have far more important things to do.