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A great way to build links to your site is to first seek to understand what content your audience wants (especially influencers and linkerati) and develop that content. Then look for ways to promote your content to people who have sites and tend to link to awesome content. People are more likely to link to content that is tremendously valuable or relevant. Developing relationships with key influencers in your niche can help a lot. Look for ways in which you can help these influencers before you ask for a link. Remember it is a marathon, not a sprint!

I would say it doesn't matter unless of course you are having a domain like www.this-is-my-colourful-nice-seo-friendly-website.com. We use ours to say -online.com just to seperate it out. However our new domain doesn't have one in and we have two words together. As long as you have something people can search on or recognise I think it will be ok.