Keywords in your domain name are generally a good idea, however you shouldn't abuse it! If you're starting a new website and about to register a domain name, be sure to keep your keywords in mind. Especially if the keyword has a lot of search volume. You should also use caution, as Google has and will continue to move away from favoring keyword stuffing domain names (i.e. KeywordKeywordKeyword.com). Although you may still see websites ranking high on search engines with this practice, you should avoid it. Instead, opt for using your brand name and/or include a main keyword (product or service) you sell. It's also important to keep your domain name as short as possible and avoid using hyphens. So, to summarize you should receive a slight benefit with atleast one keyword in your domain name.
Should I change my existing domain name?
This is a good question and depends on a number of factors. Generally speaking, if you already have a domain name and you're considering changing it, it's probably not a good idea. Google does factor domain name longevity (i.e. age, registration date). The older the domain name the better. So, if you have a domain that's a few years old, short and not spamming by overusing keywords, don't change it. You should obviously not change it if the domain name has good backlinks pointing to it.