The domain you choose for your website can have a big impact in the way that searchers and search engines perceive it. The best domain names are the ones that people can remember.
If your domain name is not already chosen, then it is often a good idea to make your domain name the company name, or brand for the site. Tying your site name to the domain is just one way you can help your visitors remember how to find you again.
Domain names can be important, but local domain type is also important. For example, if you wanted to rank highly in the UK you would be best off with a .co.uk or a.uk.biz domain. A .com domain is intended for global ranking.
The name you choose for your domain can impact how you rank, if your domain includes your main keyword it will help your ranking. This is because every page will include in the url the main keyword, i.e. http://www.keyword.com/article.htm
Having a domain name that includes the keyword definately helps out ranking in the beginning, when a site is found by a seach engine. In the long run it, the effect becomes less however. This is becasue over the course of time, backlinks will be built helping a search engine categorize the website.
For example, typing 'auction' into Google will yield a first result of ebay.com, which in its title has nothing to do with auctions. This is becasue so many links are pointing to ebay.com that have 'auction' in the link itself.
Ultimately, having a keyword in the domain name it great if it is possible, it gives agreat boost to being found. However, there are always ways to overcome the limitations of not having a keyword rich domain.
Having your main keywords in your domain name is a great step towards the SEO of your site. Sometimes however, this is not possible because your business website is already established, or it would not look respectable (example, havng to many dashes in the domain name) and it might turn some customers off.
There is still a good reason to register a keyword rich domain name even if you do not use it for your main business website. Using it for a business blog.
A business blog can be used as an adjunct to your website for news, promotion, or general articles. Using a keyword rich domain name as a secondary to your main website will boost your web visibility.
It doesn't have to be an ongoing endeavor either. The important part here is to add a dozen or so informative artcles about your industry, or company. In each article you have a link pointing to your main site, or content promtong your company.
The chances of these articles being found for your keywords will be high, increasing visitors to your website. A secondary benefit will be providing good keyword filled backlinks to your site.