Are kewords in the URL indexed? Does it add value/relevance

Do the search engines give any value to words used in a url?

Example:
http://www.mysite.com/keyword1/keyword2/key-phrase.html
OR
http://www.mysite.com/keyword1-keyword2-key-phrase.html
OR
http://www.mysite.com/category-subcateg ... -name.html

I have looked at the mod_rewrite posts, which seem to focus mainly on GETTING indexed.

Our site is indexed, but I'm wondering if the mod_rewrite would help in relevance by adding keywords in the URL.

Thanks for your input.

Yes but the value is NOT that significant for ranking. However you may get the link text credit worth much more if people link to with the URL showing as the clickable area.