From any point of view, Google and all search engines like to see a coherence between everything: if you have a page named XYZ, then google will like it better if the text, meta, images, url, documents, etc, on the page to have XYZ in them. The bigger this synchronisation between the different elements on a page, the more the search engine sees how focused the content of that page is, resulting in more hits for you when someone looks up that focused search term.
If you have an image for example, you're better off having the same:
- caption
- description
- name
- alt text
(wordpress users will recognize that these are the four parameters that can be set for images on wordpress).
The same goes for all files you have on your website. Any parameter that can be seen by a search engine is better of optimized in regards to the content that goes with it, in sync with all the other parameters of this same thing.
The question of how useful this all is arises afterwards. Will I really rank lower if my alt text is different than the name of my image? Probably not by a lot. But either way, taking advantage of small subtleties like these can take you a long way in SEO. There are so many things we can't control in SEO (or that we shouldn't be able to control, like backlinks), that we have to use what we can control in the best way possible, to compensate.
It's also hard to tell if it is all useful after the Google Panda and Penguin. It definitely has less of an impact ever since those reforms (back then, this kind of thing was crucial), the question is simply how much of an impact it still has. But all in all, as I said, whenever possible, name your files according to your content.