Keyword research is very vital for those who wish to optimize their sites for a profitable keyword. Usually, profitable keywords are called trophy keywords--those that have the largest search volume and usually have the biggest competition. If you're confident enough to break the barriers, you can try optimizing your site for a trophy keyword but it's gonna be for a long while. Some resort to optimizing keywords that have relatively high KEI--those that have great number of searches (albeit not as huge as that of the trophy kws) with few number of competitors. I believe that targetng these two will bring relevant traffic and potential income growth (conversion).

In choosing keywords, one must adhere to his/her niche. It's not only a matter of choosing the right keywords, but also it's a matter of picking which keywords that's commonly coined with the main keyword that need to be excluded (negative kws). We don't wanna say "Free dvds" when we actually sell dvds although it may bring huge amount of traffic but may result to a low conversion rate.

Keyword Research Tools:
Trial/Paid:
Keyword Discovery
Wordtracker*
Keyword Elite
Keyword Intelligence

Free:
YSM/Overture KW Tool
Google KW tool
Nichebot
SEObook kw tool