It's often said that putting keywords in the domain name helps for SEO. Well, I'm sure that it's correct. I have seen the benefit several times with sites that I have built.
The most recent example is from my site to help newbies learn SEO. I'm now on the first page of (Australian) Google searches for "SEO tips", "SEO classifieds", "SEO forums" and "SEO directories".
I have done a bit of link building for this site - but not that much really. And I haven't linked to those individual pages, just the main domain. So it's clearly a good idea to put your chosen keywords in the main domain - though don't put too many in, of course!