Identifying Niche Keywords

It depends what you want to do.

Are you doing SEO?

Do you want to sell the keywords for profit?

Are you going to be an affiliate?

Do you want to earn adsense?

Do you want to rank websites for local keywords and rent the space?

Are you generating leads for someone or some type of business?

Do you want to domain squat?

What are you doing?

There is quite a bit you can do for free. Using the Google keyword tool is a good place to start.

Once you have an idea of some keywords that have a good amount of search volume, start looking into the SERPs. You can use the free version of Open Site Explorer to do a little research into the backlink profile of your competitors.

You also need to decide how you want to monetize. CPA? MFA? What's the point of your site?

google keyword tool is good if you know what you are looking for, but please be patient and keep trying, you will find a few I am sure

Market Samurai has a free 40 day trial if you choose "The 30 Day Challenge" in the "How did you hear about Market Samurai?" box. Also, the keyword research module is free for life.

Traffic Travis is good for pretty much everything else. (Researching your competition.)

ExploringInfinity, wow... so many things... by the way, can I ask how do we sell keywords? What do you mean by that and how does it works?

You should get the Market Samurai trial..

On the surface: Look for the ads. Niches love ads. Seriously, you can just use good ol' Google Keyword Tool and put in various keywords that come to mind, look at the suggestions and find ones with lots of ads (the higher the CPC the better usually as it shows a base how lucrative a single visitor is).

Underneath the surface: Found some niches with ads - now make sure it has decent search (ideally 1,000+) and doesn't infringe on trademarks (Facebook is suing a bunch of people lately for up to $100,000 per infringing domain - don't want to go there). Then, either look for an available exact match domain in com/net/org or look on marketplaces like Afternic and Sedo to see if it's for sale for cheap. Chances are since you have "no money", you'll probably be going the available domain route - no biggie, just means you'll need to spend more time searching. Why get an exact match domain for the term? Because they slay the search engines, especially for terms that aren't very high in searches per month.

Then do the whole on-page SEO (and whatever free linkbuilding you can do since you're strapped for cash) and social marketing shindig to get people there once your site is up. If you can get page one and better yet, #1 in Google for a good CPC decently searched term, then it's a matter of optimizing/making the most out of the site.

To be profitable, you have to pick the right keywords, and basically you want buying keywords and problem / solution type of keywords, anything with strong emotion would be great for sales, see here for more info: How To Build / Increase Web Traffic Part 1 - Long Tail Keyword Strategy

I think you need to find buying keywords where the user is in the buying frame of mind
From what I've read

I think you should make sure you specify exact match search when using the google keyword tool, or you may be misled by broad match numbers. I would use your gut as well, to try to find a buyer keyword phrase. Then, it's mainly about having an exact match domain name for that phrase, and updating your site regularly with quality content, and gradually making quality back links.