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BrandKeyword.com
Tonearm - On Google, at any rate, I don't think a link with that anchor text would give you an anchor text boost for "keyword," though there are many who do.
I've never done a side by side test, but I've noticed that when I split BrandKeyword in body content on a site and display it as "Brand Keyword.com" and then request links in that form, that rankings have moved up. This is not the same as simply replacing previous links with old anchor text with new anchor text and leaving the site otherwise the same, which would be a much better test, but one that I've not been able to do.
I've also noticed that on most sites where BrandKeyword.com is not broken up, there are still a percentage of inbounds in the form "Brand Keyword" and "Brand Keyword.com," separated into two words, as well as the unsplit "BrandKeyword.com." Don't know whether this happens naturally or it's been requested. I could make the argument that you might be better off with this variation in anchor text rather than having all of your inbounds just as "Brand Keyword."
As for MSN and Yahoo, I think that Yahoo is going to have to fix whatever it's doing, and that MSN may be moving in the direction of less apparent emphasis on urls and pathnames.
You're clearly talking about a long range strategy with a branded domain, and I think that BrandKeyword.com is an excellent way to go.