If I have a site registered and running on ThisIssomething.com for example, does registering This-Is-Something.com and redirecting it actually help SEO? Or is it mainly to protect your brand?
It's mainly to protect your brand. The dashes don't help search engines determine keywords unless the words are ambiguous like expertsexchange.com or whorepresents.com. In those cases it may help although anchor text in hyperlinks (internal or external) most likely removes the ambiguity.
There is quite a lot of power in domain names that include your keywords, at least according to an article on SEOMoz - Exact Match Domains from last week.
That said, my own opinion is that buying additional domains that will be only used for 301 redirects will not affect your ranking at all. Since these domains will never appear in the search results (if the 301 is done properly).
So just pick a good domain name, with or without dashes, and stick to it.