I agree, if you want to top Yahoo and especially MSN, focus on keyword density, if you want to top Google, don't even worry about it and just create unique content and focus on back-links.

a rough estimation is between 2-7% of the total content of the page.
But as the above posters said, if they are used in coherent and meaningful sentences, then even higher densities are acceptable by SEs.

Avoid overkills.

Then how can one target all the three search engines ? Is it possible ? I think then SERP depends truly on backlinks.

You have it backwards. You don't "target search engines". Search engines find YOU. They are SEARCH engines. Most SEO advice is based on misinformation, untestable theories, and anecdotes. The only advice I'd echo is to focus on good content, and to promote your site on other, related sites. Then let things take their course. If you feel you're not getting enough exposure, then advertise. Any artificial manipulation in an attempt to get better rankings will either backfire, be ineffective, or make your site less enjoyable/natural for your members.

You should try to use seo software such as seo elite... addweb... dynamic submission... it should tell you... or check out marketleap