I agree with Kovich. I avoid hyphenated domains like the plague. But I disagree on one of his points.
Both mykeywordphrase.com and my-keyword-phrase.com should be considered EXACT match domains for the search phrase "my keyword phrase". It's very simple for Google to detect both as exact matches. "Remove all spaces from search phrase... remove all hyphens from domain name... compare to domain for exact match." This algorithm will detect both as exact matches. However, this type of check would be very expensive for every page and folder name in the URL.
And contrary to what the original poster implied or "thinks" he observed, they should both be eligable for the exact match boost and have equal chance of getting to #1 at the same speed.
Where the difference probably lies is with inbound links that have the site's name as the link text. Another site linking with my-keyword-phrase.com as the search phrase will be interpretted as "my keyword phase com". Another site linking with mykeywordphrase.com as the link text will be interpretted as "mykeywordphrase com". You can see evidence of this in Google's WMT where they they display what link text they see for you inbound links. You can tell they normalize the link text (removing special characters and punctuation" before evaluating the text.
Example Web Page as link text shows as "http www example com" in WMT.
As far as Google prefering hyphens in the URL structure, They are mainly talking about page/folder names and NOT the domain portion of the URLIMO. If you notice the example they used was a page name rather than using a domain name example. Cutts has told me in person at Pubcon that there are no differences with hyphenated and non-hyphenated domains in their ranking algorithm... But in page/folder names there are. And you NEVER want to use underscores as word separators because... well... they are NOT word separators.
The reason I avoid hyphens in domains is that your domain is the BEST chance you have of someone remembering your site. You want your domain to be as short as possible, easy to remember, and easy to type... Adding hyphens violates all of these goals. Having hyphens even makes the domain harder to say in person. Instead of saying "my keyword phrase dot com" you now have to say "my dash keyword dash phrase dot com"... harder to say AND harder to remember and type.
No one is going to remember your internal page URLs so it doesn't matter that they have hyphens AND having hyphens for them will make it so that Google can spot the keywords in the folder/page names effortlessly. So I always use hyphens in multi-word page/folder names.
