Domain names figure into the rankings with some search engines. If you do not already have a domain name picked, then from an optimization standpoint it is a benefit to pick a domain name that says what your business is and has your main keyword as part of your domain name. SEO First, anyone?
For instance, if you sell automobile tires online, from a keyword standpoint, you would want to purchase a domain name such as shellytires.com or shelly-tires.com instead of just shelly.com. The “tires” portion of you domain name, with all things being equal with your competition, will help you achieve a higher search engine ranking with some search engines.
If you do a Google search for a certain keyword or keyword phrase you will see your keyword/s highlighted if the different websites in the search results. If you have a keyword or keyword phrase in your URL, then this too will be highlighted which leads one to believe that Google gives some weight to keywords in the domain names.
If you already have a domain name that you are using that tells what your business is about but has no keywords in it, then don’t despair since this is only a minor consideration with most search engines in their ranking algorithms. But if you have a choice of building a website from the ground up, then choosing a domain name with your main keyword embedded, may give you a slight benefit in the search engine ranking wars.
Update: In the Fall of 2012 Google rolled out an algorithm change that affected both Exact Match Domains (EMD) and Partial Match Domains (PMD), so use the above info with this in mind. For example if you pick keyword+keyword+keyword as your domain name you may now receive a penalty for this. If you pick branding element + keyword then you run some risk of a penalty. The safest action to take now is to pick a branding word (or words) as your company name and your domain name (and of course company name and domain name should always match in today’s climate).