I agree with this- the global and local search volume is very helpful. Especially if working on a site that is not in your own back yard....
It is quite true that there are a lot of different kinds of software you can use that is free and paid for to do keyword research....the most useful ones are google keyword tool, and word tracker. If you really want to be a stand out, take a look at what you competitors are ranking under by viewing their website's content and source code. that is a great start for your research analysis.
I use the following keyword tool as under: http://www.quintura.com www.keywordelite.com www.spacky.com. I have got good results with these tools.
Hope I'm not replying too late........ Great keyword tool is Micro Niche Finder......... cost about $97 1 time. First I'll give you the biggest tip of all.........if you do not have a ClickBank Affiliate account...........get one. Then log in as yourself and go to the marketplace. That is on the top. Once there........ put in the search quotes and all.... "micro niche finder" then search. Once you find it.....create a hop link...... there is a little link that tells you to do just that. Now is the good part.........once you create the hop link....... go to your hop link and buy the product from yourself. Put's a little cash back in your click bank account and the tool really is a good one. What the tool will do.......... When you search a keyword term.......it will bring up related terms........as well as the one you search.......let's say for instance Shoes....... but it will give you multiple options. Say for instance club shoes.......then it tells you that it has a search count of 1,000. Then it will show you what the strength of competition is........currently around 99. Strength of competition is in a cautionary state as you may have a bit of competition. It will tell you what has competition and what does not and how much. Next it will show you adwords ads in regards to the search term..... it will show you clickbank products in regards to the search term......it will show you amazon products in regard to the search term........are you sold yet?? Remember to buy it from yourself.........saves money.