My understanding is that the keywords shown are any phrase / combination of words your site has appeared somewhere in the results list for, and by somewhere i mean not just the first page.
What this does give you is a good list of phrases you can use in conjunction with your analytics package to start to optimise content on your site around. (if you are using google analytics you may want to take a look at a preview feature which combines the data together: Pilot Webmaster Tools’ Search Queries data in Google Analytics)
You can also collect the data to see how the words change over time, at present you can only see 1 months worth of data so you would need to do this regularly. This would give you seasonal data which would be useful to target marketing.
Right i have just check webmaster tools and the above more relevant to search queries which i find more useful sorry (left in as may well be useful if a little off topic).
With regard to keywords this is a list or groups of words Google has found on your site, i consider it useful for ensuring no spam is being posted the site. Checking you are ranking for the phrases you want to and not something else i.e if it were a recruitment site you would want the phrase job or jobs to be high up on the list. The export also shows the pages Google has found the phrase in which gives you the ability to further optimise those or identify possible areas of duplication. I also keep a list of words i would like to do well for and can therefore use the keywords list to cross reference so as to pick out areas of weakness.