Yes, having keywords in your URLs does help with SEO, but search engines react differently to keywords in the actual domain versus keywords that appear tacked on to the URL string.

Keywords in the URL String
www.fakedomainname.com/widgets/
Say you’re trying to rank for the keyword “widgets.” Having “widgets” in the page URL string (after the .com) may affect rankings slightly. The real benefit is click through rate. Since search engines display the keyword you searched in bold in the search results, more people are likely to click on your listing. The key is that you have to be ranking well in the search engines for people to even see your listing. This is probably not worth rewriting all of your URLs for, but definitely worth considering for a new website.

Keywords in the Domain
www.widgetsrus.com
Choosing a domain that contains one or some of your keywords can have slightly more of an effect on your SEO efforts than just having the keywords in the URL string. In fact, if you don’t already have an established brand or domain, it’s helpful to even work keywords into your brand name and/or any tag lines associated with your brand. Just like people will begin to associate your brand with your keywords, search engines will recognize the relevance of your website to those keywords.

Exact Match Domain
www.bluewidgetsraleigh.com
If you don’t already have an established brand or domain, choosing a domain that is an exact match to a top industry keyphrase can have a major effect on your SEO efforts. Keyword choice and finding a domain that is available is the hard part. We can only speculate why having an exact match domain is worth so much, but it’s likely search engines think someone searching for “blue widgets raleigh” is actually trying to look up the bluewidgetsraleigh.com website.

It’s also possible that having a domain that is an exact match to a top searched keyphrase in your industry means that you were an early presence on the web for this topic and possibly a leader in the eyes of the search engines.