Keyword research is one of the most important, valuable, and high return activities in the search marketing field. Through the detective work of puzzling out your market's keyword demand, you not only learn which terms and phrases to target with SEO, but also learn more about your customers as a whole. The usefulness of this intelligence cannot be overstated - with keyword research you can predict shifts in demand, respond to changing market conditions, and produce the products, services, and content that web searchers are already actively seeking. In the history of marketing, there has never been such a low barrier to entry in understanding the motivations of consumers in virtually every niche - not taking advantage is practically criminal.
How to judge the value of the keyword
Every search phrase that's typed into an engine is recorded in one way or another, and keyword research tools like those described below allow us to retrieve this information. However, those tools cannot show us (directly) how valuable or important it might be to rank for and receive traffic from those searches. To understand the value of a keyword, we need to research further, make some hypotheses, test, and iterate - the classic web marketing formula.
Is the keyword relevant to the content your website offers? Will searchers who find your site through this term find the likely answer to their implied question(s)? And will this traffic result in financial rewards (or other organizational goals) directly or indirectly? If the answer to all of these questions is a clear "Yes!", proceed...
Search for the term/phrase in the major engines
Are there search advertisements running along the top and right-hand side of the organic results? Typically, many search ads means a high value keyword, and multiple search ads above the organic results often means a highly lucrative and directly conversion-prone keyword.
Buy a sample campaign for the keyword at Google AdWords and/or Bing Adcenter
In Google Adwords, choose "exact match" and point the traffic to the most relevant page on your website. Measure the traffic to your site, and track impressions and conversion rate over the course of at least 2-300 clicks (this may take only a day or two with highly trafficked terms, or several weeks with keywords in lesser demand).
Using the data you’ve collected, make an educated guess about the value of a single visitor to your site with the given search term or phrase.
For example, if, in the past 24 hours, your search ad has generated 5,000 impressions, of which 100 visitors have come to your site and 3 have converted for total profit (not revenue!) of $300, then a single visitor for that keyword is worth approx. $3 to your business. Those 5,000 impressions in 24 hours could probably generate a click-through rate of between 30-40% with a #1 ranking (see the leaked AOL data mining for more on potential click-through-rates), which would mean 1500-2000 visits per day, at $3 each, or ~$1.75 million dollars per year. No wonder businesses love search marketing!