I am thinking specifically about a Wordpress (or other software) blog. I normally choose a niche / micro-niche, get a domain name with a keyword that has more than 1k searches USA on Exact match type in Adwords Keyword Tool (my decission also depends on SEO competition), and assign related keywords with quite a lot of search volume (usually around 1k-3k) as categories. Then I assing more keywords to these categories. So I get something like a keyword tree (I think Market Samurai uses this term). I target the main domain keyword, category keywords, and add longer phrase keywords also.
I guess it all depends, but I've been doing it for a while and I am wondering more about how to consturct a site based on all these keywords, and what is the best way to use them. I heard it is best to use one keyword per post, so I do that. I try to add one or two longer phrases to these posts also. I think there should be a genral answer to this question, but it probably takes a lot of time working on the websites to get a feel of how Google works, and know what works best, what doesnt etc.