Keywords in Domain Name
NB: UPDATE - 26/12/2008 - Google now recomends that you should anme your URLs relevant to the content.
This one is not so much a myth, more an extrene over exaggeration.
You often hear things like "you have to have your keywords in your domain to rank well" or "having keywords in your URLs gives you a good rank", both of which are completely inaccurate.
Now having keywords in your URL will make a tiny difference to your site and it is preferable to chose keyword targeted domains but this is more because they are obvious, logical and memorable. Chaning an existing URL to a keyword targeted URL is probably not worth it as even if you 301 redirect the URL you will inevitably suffer a loss in rankings and traffic for that URL.
Seeing very long domain names like www.the-best-seo-site-in-the-world.com is quite hilarious. Chosing a domain name should be based on a brnading strategy and a memorable name that is as short and concise as possible. The minimal advantages gained from a long keyword targeted domain will be far out weighed by the loss in direct and repeat traffic.
The SEO Files recomends
Chose a domain name that reflects the name of your company or theme of your site and industry. A domain name should be short, memorable and representative of your brand. Don't chose a domain name based on your primary keyword.