Generally speaking keywords with high CPC have higher commercial activity related to them so a lot of people are competing for the traffic. But it is a high risk/high reward staretgy. provided it is within budget and you have a website/conversion process in place to maximise your ROI you can go for them.
But it's important to stress that it's really down to case by case scenarios, sometimes the high cost keywords aren't good at all. They can be generic, untargeted and just expensive becasue people just bid on them.
e.g. if you're a web designer you may find that the keyword "web design" is the most expensive CPC keyword in your list. But it probably won't be a worthwhile keyword because people searching using that keyword could just be looking for research, software, articles, how to guides etc.
Generally speaking you should focus your keyword choice by targeting people who are actively looking for a service you provide. A web designer might want "flash developer indiana", "flex developer indiana", "html5 site developer" etc.