My experience is limited but from what I've seen it doesn't matter. I was working with a local business where the popular phrase was keywordcity. We ranked for his url which was citykeyword and he was also ranking very well for keywordcity. The competition wasn't great so it was easy to rank and that could be part of it but if you are doing your backlinking and everything else that you do to rank it you should be fine.
The other option would be to use stop words or words that google ignores. You could also add "my" or "i" in front of it as they are popular. Here is a link for an article on stop words.
blue0510 (March 27th, 2011)
I haven't heard too much about stop words so you could be right in that they don't work anymore.
Another option which I've used in the past is to combine two keywords to get the exact match. If the keyword is "Widget UK" then you can try to combine it with another two word keyword like "Blue Widget" so the domain would be "BlueWidgetUK". The downside to this is your url can end up being very long depending on the keyword.
I have noticed a trend where people use stop letters at the end of the domain name. they add a letter that doesnt change the meaning of the word. people have been using 'x' for a while but now i see domains ending with'v' or 'j', buy avoid using 's', as this may mean something else.
hope this helps.
I have had some good results with names, such as Daveskeyword, or keywordLucy obviously depends on your keyword but you can get some great branding in your market and helps get the name remembered when you do blog commenting