Repeat after me: My keyword list is the cornerstone of my PPC campaign.
Many of us in "the biz" refer to search marketing as keyword marketing. The two phrases are interchangeable. Search marketing wouldn't exist without keywords.
If you already have a live PPC account, you may want to skip this section since I'm going to focus on building a keyword list from scratch. Some of the tools I list will benefit everyone though - even those of you who have a live campaign. A keyword list is a moving target. Like all of search marketing, there's no such thing as set it and forget it.
Step One - Establishing The Preliminary List
Everyone has their own methodology for establishing a keyword list. Keep that in mind when you read this because this is just the way I do it and I'm not claiming it's the industry standard solution or anything. I can pretty much guarantee you'll end up with an awesome starter list of keywords if you follow my lead here though.

Sometimes categorizing terms isn't as straightforward as it seems. For example, the term "winter boots for women" could go in both the Womens Boots or Winter Boots categories. However, for this particular client, their main product was "Winter Boots" so I chose to put the keyword there since they had a big selection of products that matched this category. If you're really not sure where to put a term, then test it with different ad copy and put it where it performs best.
Step Two - Using Keyword Research to Expand Your Preliminary List
Once you have your core list of terms completed, you can begin expanding those terms using a couple of techniques and tools as follows.
{{meta Name="keywords" Content="Boots,Women's Shoes,Shoes,Clothing,Shoes,Jessica Simpson,Steve Madden,Via Spiga,MIA,AK Anne Klein,Rocket Dog,Nine West,Biviel,Kenneth Cole Reaction,Earth,Tommy Hilfiger,Lumiani,ADI,Journee Collection,Vigotti,Lassen,Type Z,KORS Michael Kors,DKNY,BCBGeneration,Diba,Gabriella Rocha,Miss Sixty,rsvp,Arche,Sudini,Charles David,Lane,Luichiny,Matiko,Naughty Monkey,BearPaw,Fergie,Groove,Peter Kaiser"}}
I got the above tag from Overstock's Web site - notice how they've listed a ton of brand names? This is good stuff! It provides lots of great ideas for building your own keyword list (not to mention some insight into Overstock's keyword strategy).
These tools are excellent for competitive research (if you want to see what terms your competitors are bidding on) as well as keyword discovery.