In the most recent issue (#68) though, the guest article by mr. Nielsen repeatedly says that this is an (important?) SEO-issue.
Designers can use the best keyword phrases when they create new pages and graphics files in order to derive the benefit of keyword-rich filenames.
Have things changed or didn't I see Jill's disclaimer?
For graphics files I would assume that the alt-tag plays a much more important role than the file name itself.
IMO the major benefit from using keywords in filenames/paths is that the url shown in the search results will look more appealing to humans compared to "nonsense" url's. That goes for domain names as well.