As you can probably see in search results keywords in URL’s are marked, meaning they are indexed and as the first thing SE’s see is the URL I would imagine they do have relevance.
On the other hand there are soooo many other factors in the equation this is probably not a very big deal.
One thing that is a personal “hunch”, I would imagine SE frown upon things like this. site.com/video-poker/video-poker-guide/video-poker.html
I would call this keyword spamming, on the other hand something like:
site.com/blackjack/blackjack-rules.html is probably ok. Just an intuition.
Ory