Did you know that one of the ways in which Google decides how relevant a web page is to a search term is by looking at the page filename? So guess what? A page called "widgets.html" has already got a head start over a page called "23frY67775.aspx" or something equally random assigned by a bad content management system. This article, on our website, is a page called http://www.bmon.co.uk/2010/03/filenames-arent-just-for-computers/ and all the websites we rebuild for companies put the keywords in the page URL in this way.
But a web page doesn't have just one filename associated with it. What about other elements which appear, such as images? It's important to get the keywords in those filenames too. So if you've got a photo of your latest widget which you're about to upload to your website, make sure it's called "widget.jpg" and not something pointless like "image432.jpg". Use everything you can to help Google work out what your page is about, and Google will help you in return.
There's a nice article called How To Name Your Website’s Files on Daily SEO Tip if you find the subject interesting.