Your Google AdWords display URL may impact your AdWords quality score, but to what extent is the question? A Google Groups thread has discussion on the topic, where AdWordsPro.Jordan, an official Google representative, says that it may have an impact.
Jordan writes, "Display URL can have an effect on your Quality Score." Jordan goes on to explain that it depends, the "effect depends on the context in which your Quality Score is being used and in some cases, the Display URL is not even considered at all." Jordan then links us to a AdWords FAQ page that Google does look at the "historical CTR of the display URLs in the ad group." But does Google match the keywords used in the display URL to increase the quality of the ad?
I.e. if you are selling cars, does it help to have the word car in your URL? Jordan explains that since Google bolds the search term in the ad, including the display URL, it may increase your CTR, which helps your quality score. Here is a picture of an ad in Google for a search on car, notice how the word "Car" is bolded in the display URL.
So how should you structure your display URLs? Jordan says the "difference between ‘MyDomain.com/Apple-Juice’ and ‘…/Apple_Juice’ is negligible as we should be able to detect the keyword ‘apple juice’ in either case."
Having the keyword in the display URL can increase your CTR, which has a major influence on your ads Quality Score. But does having the keyword in the URL help Google match on relevancy of your ad and thus increase your quality score?
Forum discussion at Google Groups.