as far as keyword dense urls go the dash is slightly better than an underscore for replacing spaces and special chars when using modrewrite etc.
i do not know specifically of any instances of a dash in a domain not placing properly. but i would say that if you are competing with domain.com with do-main.com you are most likely late to the game as domain.com would have been the logical choice and the first to be registered. domain history has a lot to do with page rank and the reputation of the domain for assigning page rank to the sites it links to.
most of the time i suggest finding a better domain name if you have to use a dash to get the one you want. out ranking established sites is hard enough without making the job even more complicated. and most often people who are typing in your url will forget to include the dash and you will just send traffic to the other site anyway.
its the same way with taking a .org or .biz name jsut to have the domain you want. the majority of people will type in .com regardless just as they will assume your domain is the one without a dash.
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