I've seen some interesting results with hyphenated domain names on Google. Not sure how MSN / Yahoo or Ask handles this.
Domain name WidgetA-WidgetB.com has the tendancy to rank better for the query WidgetA WidgetB against a site assuming all other variables equal. The effect doesn't seem to appear on domains with two or more hyphens. And domain names with two or more hyphens are a poor choice for branding and establishing yourself long term.