As far as search engine results are concerned, I've had just as much success with hyphens as without.
it works well for ranking for that term. however, just imagine telling someone face to face your web url. nobody remembers or think about putting hyphens in a URL.
Regarding search engines they are as good. hyphenated names can be good when the total name length is long because people find it easier to type
you only have to run a search on your keyphrase listing to see how many hyphenated domains show and what position they appear in comparision to the competition. They usually rank lower than their equivelent phrase. They are ok as a last resort if you have no other options