Perhaps the most common method of inserting mathematics into Keynote has been to use Equation Service. Another just-released tool, though, is the freewareLaTeX Equation Editor [52mb download], a self-contained application which provides a nice GUI frontend to TeX and LaTeX. It produces properly sized PDF files (unlike pdflatex) with transparency and supports drag-and-drop into Keynote and other applications!
[robg adds: A note on the above site indicates that you'll need to have ghostscript and TeX previously installed to use the program...]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20030417065555118