I would use both : the first - www.widgetdownload.com - should have a server side permanent redirect to the second hypenated domain name - www.widget-download.com -. The second one is more efficient on search engines because they can dig both keywords in domain name and anchor text of incomming links to your site.
The first one will be more efficent for audio communications such as phone or radio. It will be handy for type-in visitors and those who will forget the hyphen.
[edited by: Lisa at 7:27 pm (utc) on Dec. 17, 2002]
Enjoy!