Although I don't know of any scientific tests about this topic (I suspect people have done them), most of the SEO research I've read over the last few years place hyphenated domains somewhat down on the list of best-scenario formats for SEO. Most guidelines I've seen put exact keyword match domains first on the list (bluewidgets.com). This is followed by exact keyword + modifier at end (ie: bluewidgetsblog.com). Curiously enough, the hyphenated version comes in even a few more lines below on the list (at least on the lists I've seen).
Doesn't make much sense to me. Don't know why Google would favor non-hyphenated domains (if in fact they do). Seems like hyphenated keywords would only serve to help search engines by separating the words for them. But then there's a lot of things I don't understand about search engines