Hi Madsurfer
I would use the exact phrases in the name of the page, the page titles, alt text, anchor text etc, etc but wouldn't use them in the navigation and would go for equipment, news, sails, boats etc as the navigation labels as this will be more scannable by a user then having windsurfing before everything.
Presumably as you will have a page for each of these categories then it is that page that you will be optimising for that keyword and hoping ranks at number one when someone searches.
One thing I would do before naming all the pages is write a list of my products and the related phrases and enter them into the Google keyword tool and see whether there are similar suggestions that would still match the content of my page but with considerably higher estimated search volume. I would then optimise for that term.
Hope this helps..