Atun - 7:31 am on Oct 31, 2010 (gmt 0)
They were 'in' a few years ago. I still have a whole bunch. At the time, it was suggested that SE's had an easier time parsing them.
However, saw no benefit in Adwords. Since the user sees only the display domain, you can catch their attention just as well with proper capitalization in the display domain name.
WidgetShop.com is more appealing than widget-shop.com for a display domain I now believe. Yeah, I could say Widget-Shop.com but see no advantage anymore -- if there ever even was an advantage.