Let's say your brand is 'Ziggle' and your website is http://www.keywords.com then you could simply use 'Ziggle' or 'Ziggle Inc.' or 'http://www.keywords.com' or 'www.keywords.com' as your brand anchors.
Your website, even though it has keywords in it, is still regarded as a brand signal albeit not as strong a signal as just 'Ziggle'. Of course if you just used the commercial keywords as your anchor without the web address, then this is not good.
Ultimately, the point of the Penguin update is over-optimization, that is a very unnatural looking link profile. Therefore you have to ask what anchors to your site would look natural? It is of course absolutely natural to have anchors that contain your entire web address (http://www.keywords.com) even though it has keywords in the domain. Again, it does not look natural when anchors have been over-optimized with keyword rich commercial terms.
Personally, I try to avoid using exact match domains wherever possible.
Hope this helps.
Adam.