If the main keyword for the site is available in the exact match, then I would definitely register it and use that.
Let me know about how to register a domain name in detail.
Also please tell about how much search volume and competition would be better for that keyword.
I am building mini niche sites.
On the other hand, some keywords have high search volumes but are difficult to make money off like free stuff for example.
EMDs are better due to the benefits of the exact match bonus on the COM/NET/ORG domains.
I've just experimented with hyphenated EMDs and have gotten good results. One of my hyphenated EMDs with 823 daily searches according to wordtracker is ranking #7 and another is ranking #10 that has 40k monthly searches. The hyphenated EMDs can be ranked but take more effort.
Generally, 4,000 monthly searches according to the adwords tool should be the minimum for an EMD domain.
I am also not a big fan of hyphens in domain names, but it has been proven that you can make them work on a limited level. But if you are going to hyphenate a domain I recommend that you stick with dot COM, as it looks much better.
There are some niches that make more sense to stick with dotCOM only, if you can not get a nice exact matching domain in .com I recommend trying to find a good brandable instead. In the case of picking a brandable I do not worry about keywords so much as long as the name makes sense and it is related.
As far as competition and exact searches, you are obviously going to want to find lower competition higher search volume niches. As for me I do not worry about that as long as there is a reasonable search volume, I figure that I can etch my way up against the competition over time.