Thanks Linda for that great piece of information and let's enhance all of that and bring out some hard core numbers here so that things will be a lot clearer to beginners.
The obvious or not so obvious deal in keyword market research is that you want to find a profitable niche
Profitable niche = large number of searches in proportion to number of competing websites
But it's not just the ratio you want to be focused on but also the actual number of searches of a keyword phrase per *day*.
You want no less than 80 searches per day for ANY given keyword if you're going to be using
SEO to optimize your website and No less than 100 searches per day for any given keyword phrase if you're going to be using Pay Per Click (such as Adwords or Yahoo)
On the other side of the ratio you don't want any more than 30,000 competing websites for any given keyword.
Also keep in mind that one particular keyword phrase = market.
So for example the keyword "golf" is a market just as "golf clubs" is a market just as "irons" is a market.
There are three seperate markets here, even though they are also sub-niches within one large market (which in this example would be golf market)
This is by no means the end all to the final equation of whether a keyword phrase is going to be a profitable niche for you.
Once you've dug out a keyword phrase with more than 80 daily searches and less than 30,000 competing websites, then you'll need to dig deep to find out the quality of backlinks those competing websites have and whether they are listed with DMOZ or other directories.
This can take quite a bit of time but it is worth it, and also now adays there are killer pieces of software that give you information within minutes that would have ordinarily taken you hours or even days. Good luck