A domain name that contains one or more of your major keywords is going to get better ranking than using a domain name without your keywords in it.
However, a further refinement is to look at using sub-domains.
For example rather than using a single domain structure like:
You could use subdomains, for example:
This is a current discussion over at Search Engine Watch.
I recommend using subdomains when you have substantial unique content for each subdomain so they're really almost mini web sites on their own.
Otherwise I would tend to use the initial single domain structure and make sure that all pages are accessible from the home page with 2 clicks. That usually means creating a site map and placing its link on every page.
As noted at Search Engine Watch there may be good marketing reasons for you to decide to use subdomains. So review the need for subdomains as part of your initial web site creation and review strategy.