It helps with SEO if you get a domain with your keyword in. This is considered as on-page SEO. It all helps. While I agree that Off-page SEO is more important. It is important to get your On-page correct as well as this will give you an edge over competitors.
Choosing the right domain name can be very vital when it comes down to Search Engine Optimization. The domain name that you choose should contain your main keyword that you intend to work on and get ranked for in order to get the related traffic from search engines. (Just an expansion) ~ Mike