I've definitely seen what JoeHouse has seen, but only on newly launched sites with very little backlinks. If you just recently launched example.com and you load up on comment spam or paid text links, you'll find you get nowhere fast.
I have actually done this recently with a new domain I launched, although I'm not 100% sure it's an inbound link "penalty". Basically, I've got a personal site that I'm currently working on and handing out beta invites for. I posted on twitter about the new site launching, getting invites, etc. I also posted on Digg (talking about beta invites going out) and commented on recent on-topic blog posts announcing the site. In total, I would guess the domain has no more than 10 links (1 twitter, 1 digg (nofollow), and 2-8 blog comments (nofollow) with the keyword + domain name as the anchor text). I am finding now that a search for "keyword keyword" (the domain name without quotes) does not return the domain at all in results 1-999. However, if I search for "domain-keyword domain-keyword other-keyword" (without quotes), I'm on page 1 for the particular phrase. Also, before the blog comments and digg link, I was on page 2 for the particular phrase, which is where I probably should have been considering it's a very non-competitive area.
It's the beginning of the link building process for this domain so I am not concerned, but I believe that if you start off with low quality/easy-to-get links that you can quickly find yourself removed from Google's index for your targeted phrase(s).