Even Search Engines look at them as part of their classification criteria. When choosing your domain name, try to pick one that relates to what your business is all about. For instance, if you are in real estate, try to get that into the domain name (like: yourhometownrealestate.com).
If combining words, be sure to use short, easily spelled, words and do not use abreviations.
Lastly, but probably the most important tip on this subject: If you have a great idea that you think you "might" want to use someday - if it's available - get it NOW. I can't tell you how many people have had great ideas for a domain name for their business but put off getting it until it was too late. Once the name is gone, it's GONE! Spending a few bucks to hold one is cheaper, in the long run, than ending up with second or third choice. Oh, and when you do register, make sure you do it through a reputable company.