Simply put it makes your life easier when it comes to getting on page 1. Exact match domains will noticeably boost your rank for what ever keyword your looking to rank for.
Haven't seen it mentioned, but having your content keyword-rich without over-doing it is important as well. <h1> tags also....
Good question mk.,kewords plays a big role in page ranking by kewords u can show the structure of your site in its just you can the summary of your site.
I think it helps a lot. When you search on google, it also searches the URL and bolds it if the keyword is there.
Using your keyword in domain is beneficial for it gives your site a higher possibility of getting ranked on the top pages of SE. It also gives the SE an idea about the theme of your site.