It depends on how complex your website is. If you have very comprehensive content very informative, and tons of backlinks to authority sites or your site is considered a good authority site, then it probably wouldn't matter that much. However, for us little guys to have a change in good ranking in the search results pages, then by all means, have your primary keyword in the domain name.
On all marcus training webinars, he tries to hammer this into us. It's that important!