Every URL on your website should be well structured to ensure that it accurately describes the content of the web page in question. For example, the URL of this page is: www.dpfoc.com/URL-Structure-SEO.
Putting one of your primary key-phrases in your URL will substantially improve the chances that this page will rank well for this key-phrase. As with all SEO techniques, it should not be abused - two to three keywords is the maximum. It stands to reason that if a webmaster has included these keywords in the URL of the page, the page is very relevant to these keywords and so rank will be improved.